A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
From MaRDI portal
Publication:4442989
DOI10.1137/S036301290038111XzbMath1037.93079MaRDI QIDQ4442989
Publication date: 8 January 2004
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
91B70: Stochastic models in economics
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
91G80: Financial applications of other theories
62L15: Optimal stopping in statistics
Related Items
Optimal pair-trading strategy over long/short/square positions—empirical study, A two-dimensional dividend problem for collaborating companies and an optimal stopping problem, Optimal pair-trading strategy over long/short/square positions—empirical study, Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach, Optimal Switching between Locking Down and Opening the Economy Because of an Infection, Real Options Problem with Nonsmooth Obstacle, ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT, Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function, Investment in two alternative projects with multiple switches and the exit option, Optimal switching strategy of a mean-reverting asset over multiple regimes, Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem, Thinning and harvesting in stochastic forest models, The finite horizon optimal multi-modes switching problem: the viscosity solution approach, 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, Switching problem and related system of reflected backward SDEs, An investment model with switching costs and the option to abandon, Hysteresis due to irreversible exit: addressing the option to mothball, Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications, Optimal investment decision under switching regimes of subsidy support, A balance sheet optimal multi-modes switching problem, On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles, A class of solvable multiple entry problems with forced exits, The stochastic goodwill problem, A full balance sheet two-mode optimal switching problem, BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES, Analysis of production decisions under budget limitations, Valuation of energy storage: an optimal switching approach, IRREVERSIBLE INVESTMENT, OPERATING FLEXIBILITY, AND TIME LAGS, OPTIMAL MULTI-MODES SWITCHING PROBLEM IN INFINITE HORIZON, The explicit solution to a sequential switching problem with non-smooth data, Pricing Asset Scheduling Flexibility using Optimal Switching, FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY