Sequential entry and exit decisions with an ergodic performance criterion

DOI10.1080/17442500600715840zbMATH Open1127.93061OpenAlexW2010128022MaRDI QIDQ5485918FDOQ5485918

Authors: Anne Laure Bronstein, Mihail Zervos 

Publication date: 4 September 2006

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500600715840

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zbMATH Keywords

variational inequalitiesimpulse stochastic controllong-term average criterionalmost sure optimalityergodic stochastic control

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cited In (6)

• Entry-exit decisions with implementation delay under uncertainty.
• The explicit solution to a sequential switching problem with non-smooth data
• Buy-low and sell-high investment strategies
• A class of solvable multiple entry problems with forced exits
• Long-term optimal investment strategies in the presence of adjustment costs
• Entry and Exit Decision Problem with Implementation Delay

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