Entry and Exit Decision Problem with Implementation Delay

DOI10.1239/jap/1231340232zbMath1167.60008OpenAlexW3125791851MaRDI 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 stoppingBrownian excursionimplementation delayParisian optionWald's identity

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Capacity optimization under uncertainty: the impact of operational time lags ⋮ Optimal stopping with random exercise lag ⋮ Time-to-build and capacity expansion ⋮ On the problems of sequential statistical inference for Wiener processes with delayed observations ⋮ On barrier strategy dividends with Parisian implementation delay for classical surplus processes ⋮ Entry-exit decisions with underlying processes following geometric Lévy processes ⋮ Flexibility premium of emissions permits ⋮ Analysis of the optimal exercise boundary of American put options with delivery lags ⋮ The explicit solution to a sequential switching problem with non-smooth data ⋮ BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES ⋮ Irreversible investment with random delay and partial prepayment ⋮ Entry and exit decisions with linear costs under uncertainty

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