Entry and exit decisions with linear costs under uncertainty

DOI10.1080/17442508.2014.939976zbMath1351.60052OpenAlexW2044620667MaRDI QIDQ5265783

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

stochastic programmingoptimal stoppingstochastic differential equationsexit timesentry times

Mathematics Subject Classification ID

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

Related Items (2)

An investment model with switching costs and the option to abandon ⋮ Entry-exit decisions with underlying processes following geometric Lévy processes

Cites Work

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

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