Optimal stopping of expected profit and cost yields in an investment under uncertainty

DOI10.1080/17442508.2010.516828zbMath1233.60021arXiv1001.3289OpenAlexW2124958149MaRDI QIDQ3108371

Boualem Djehiche, Said Hamadène, Marie-Amélie Morlais

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.3289

zbMATH Keywords

optimal stoppingbackward stochastic differential equationsmerger and acquisitionSnell envelop

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (2)

A balance sheet optimal multi-modes switching problem ⋮ Stochastic near-optimal control for drug therapy in a random viral model with cellular immune response

Cites Work

• Adapted solution of a backward stochastic differential equation
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Some applications of impulse control in mathematical finance

This page was built for publication: Optimal stopping of expected profit and cost yields in an investment under uncertainty