Entry and Exit Decision Problem with Implementation Delay

DOI10.1239/jap/1231340232zbMath1167.60008MaRDI QIDQ5504160

Michaela Schnetzer, Luca Taschini, Marius Costeniuc

Publication date: 21 January 2009

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1231340232

zbMATH Keywords

optimal stopping; Brownian excursion; implementation delay; Parisian option; Wald's identity

Mathematics Subject Classification ID

60J65: Brownian motion

60G40: Stopping times; optimal stopping problems; gambling theory

62L15: Optimal stopping in statistics

Related Items

Entry and exit decisions with linear costs under uncertainty, Entry-exit decisions with underlying processes following geometric Lévy processes, On barrier strategy dividends with Parisian implementation delay for classical surplus processes, Capacity optimization under uncertainty: the impact of operational time lags, Optimal stopping with random exercise lag, BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES, The explicit solution to a sequential switching problem with non-smooth data

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