LIQUIDATION OF AN INDIVISIBLE ASSET WITH INDEPENDENT INVESTMENT

DOI10.1111/mafi.12127zbMath1403.91340arXiv1312.2754OpenAlexW2124282269MaRDI QIDQ4635036

Emilie Fabre, Guillaume Royer, Nizar Touzi

Publication date: 13 April 2018

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

Full work available at URL: https://arxiv.org/abs/1312.2754

zbMATH Keywords

optimal controloptimal stoppingviscosity solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Cites Work

• Optimal stochastic control, stochastic target problems, and backward SDE.
• Valuing the option to invest in an incomplete market
• An explicit solution for an optimal stopping/optimal control problem which models an asset sale
• OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE
• Weak Dynamic Programming Principle for Viscosity Solutions
• Risk Aversion, Indivisible Timing Options, and Gambling
• On Embedding Right Continuous Martingales in Brownian Motion

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