Entry and exit decisions with linear costs under uncertainty

DOI10.1080/17442508.2014.939976zbMATH Open1351.60052OpenAlexW2044620667MaRDI QIDQ5265783FDOQ5265783

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

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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)

Cites Work

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

Cited In (9)

• Entry-exit decisions with underlying processes following geometric Lévy processes
• The effect of mean reversion on entry and exit decisions under uncertainty
• Optimal entry decisions under uncertainty
• Entry and exit decisions under uncertainty
• An investment model with switching costs and the option to abandon
• Entry-exit decisions with implementation delay under uncertainty.
• 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

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