Entry and exit decisions with linear costs under uncertainty

DOI10.1080/17442508.2014.939976MaRDI QIDQ5265783zbMATH OpenOpenAlexFDO

Authors Yong-Chao Zhang

Publication date 29 July 2015

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2014.939976

zbMATH Keywords

optimal stoppingstochastic differential equationsstochastic programmingexit timesentry times

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)

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Cites work

• An investment model with entry and exit decisions
• Entry and Exit Decision Problem with Implementation Delay
• Entry and exit decisions based on a discount factor approach
• Entry and exit decisions under uncertainty
• Irreversible decisions under uncertainty. Optimal stopping made easy
• Lévy Processes and Stochastic Calculus
• Optimal Switching in an Economic Activity under Uncertainty
• Stochastic Control in Discrete and Continuous Time
• Stochastic integration theory.
• The effect of mean reversion on entry and exit decisions under uncertainty
• The explicit solution to a sequential switching problem with non-smooth data

Cited in

(10)

• An investment model with switching costs and the option to abandon
• Optimal entry decisions under uncertainty
• An entry-exit model involving construction and abandonment periods
• Entry and exit decisions based on a discount factor approach
• An investment model with entry and exit decisions
• Entry and Exit Decision Problem with Implementation Delay
• Entry and exit decisions under uncertainty
• Entry-exit decisions with implementation delay under uncertainty.
• Entry-exit decisions with underlying processes following geometric Lévy processes
• The effect of mean reversion on entry and exit decisions under uncertainty

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