A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping

DOI10.1137/S036301290038111XzbMATH Open1037.93079MaRDI QIDQ4442989FDOQ4442989

Authors: Mihail Zervos 

Publication date: 8 January 2004

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

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zbMATH Keywords

optimal stoppingreal optionsoptimal switchingstochastic impulse control

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cited In (36)

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• Real options problem with nonsmooth obstacle
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• Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function
• Buy-low and sell-high investment strategies
• Optimal investment decision under switching regimes of subsidy support
• FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY
• Optimal pair-trading strategy over long/short/square positions -- empirical study
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• Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings: a viscosity solution approach
• Irreversible investment, operating flexibility, and time lags
• ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
• A Sequential Entry Problem with Forced Exits
• Hysteresis due to irreversible exit: addressing the option to mothball
• A class of solvable multiple entry problems with forced exits
• Thinning and harvesting in stochastic forest models
• Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process
• A mixed singular/switching control problem for a dividend policy with reversible technology investment
• Analysis of production decisions under budget limitations
• Pricing Asset Scheduling Flexibility using Optimal Switching
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
• Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications
• Entry and Exit Decision Problem with Implementation Delay
• The finite horizon optimal multi-modes switching problem: the viscosity solution approach
• A balance sheet optimal multi-modes switching problem

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