Optimal selling of an asset with jumps under incomplete information

DOI10.1080/1350486X.2013.810462MaRDI QIDQ4585004zbMATH OpenFDO

Authors B. Lu

Publication date 5 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486X.2013.810462

zbMATH Keywords

incomplete informationjump diffusion modeloptimal selling of an assetoptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

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Cites work

• Comment on “Investment Timing Under Incomplete Information”
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
• Financial Modelling with Jump Processes
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• scientific article; zbMATH DE number 14969 (Why is no real title available?)
• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
• Investment Timing Under Incomplete Information
• Optimal selling of an asset under incomplete information
• Point processes and queues. Martingale dynamics
• Sequential Decision Problems for Processes with Continuous time Parameter. Testing Hypotheses

Cited in

(13)

• Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach
• Asset liquidation under drift uncertainty and regime-switching volatility
• Optimal entry decision of unemployment insurance under partial information
• Optimal liquidation of an asset under drift uncertainty
• Momentum liquidation under partial information
• Sell or hold: A simple two-stage stochastic combinatorial optimization problem
• Dynkin games with incomplete and asymmetric information
• American options and incomplete information
• Optimal closing of a momentum trade
• scientific article; zbMATH DE number 7703248 (Why is no real title available?)
• scientific article; zbMATH DE number 7703253 (Why is no real title available?)
• Optimal selling of an asset under incomplete information
• Optimal liquidation under indirect price impact with propagator

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