Entry-exit decisions with underlying processes following geometric Lévy processes

DOI10.1007/S10957-016-1026-7MaRDI QIDQ511983zbMATH OpenOpenAlexFDO

Authors 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

entry-exit decision problemsgeometric Lévy processoptimal stoppingWiener-Hopf factorization

Mathematics Subject Classification ID

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

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Cites work

• An investment model with entry and exit decisions
• Applied stochastic control of jump diffusions
• Entry and Exit Decision Problem with Implementation Delay
• Entry and exit decisions based on a discount factor approach
• Entry and exit decisions with linear costs under uncertainty
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1322501 (Why is no real title available?)
• Irreversible decisions under uncertainty. Optimal stopping made easy
• Optimal investment in a Lévy market
• Optimal stopping and perpetual options for Lévy processes
• OPTIMAL STOPPING WITH DELAYED INFORMATION
• Pricing contingent claims on stocks driven by Lévy processes
• The effect of mean reversion on entry and exit decisions under uncertainty
• Urban Development with Lags

Cited in

(5)

• A class of solvable multiple entry problems with forced exits
• Optimal stopping in Lévy models for nonmonotone discontinuous payoffs
• Optimal entry decisions under uncertainty
• An entry-exit model involving construction and abandonment periods
• A Sequential Entry Problem with Forced Exits

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