Entry-exit decisions with underlying processes following geometric Lévy processes

DOI10.1007/s10957-016-1026-7zbMath1358.60059OpenAlexW2539249163MaRDI QIDQ511983

Yong-Chao Zhang

Publication date: 23 February 2017

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-016-1026-7

zbMATH Keywords

optimal stoppingWiener-Hopf factorizationgeometric Lévy processentry-exit decision problems

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Decision theory (91B06) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Unnamed Item
• Unnamed Item
• Entry and exit decisions based on a discount factor approach
• The effect of mean reversion on entry and exit decisions under uncertainty
• Pricing contingent claims on stocks driven by Lévy processes
• Optimal stopping and perpetual options for Lévy processes
• Irreversible decisions under uncertainty. Optimal stopping made easy
• Optimal investment in a Lévy market
• Urban Development with Lags
• An investment model with entry and exit decisions
• Entry and exit decisions with linear costs under uncertainty
• Entry and Exit Decision Problem with Implementation Delay
• OPTIMAL STOPPING WITH DELAYED INFORMATION
• Applied stochastic control of jump diffusions