Optimal stopping with random intervention times

DOI10.1239/AAP/1019160954zbMATH Open1009.60032OpenAlexW2152092364MaRDI QIDQ4547102FDOQ4547102

Authors: Paul Dupuis, Hui Wang 

Publication date: 28 April 2003

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1019160954

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zbMATH Keywords

American optionoptimal stoppingstochastic controlvariational inequality

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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• Closed-form solution to a real option problem with regime switching
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• Optimal stopping with information constraint
• Optimal stopping problems in Lévy models with random observations
• Optimal stopping with random exercise lag

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