OPTIMAL STOPPING WITH DELAYED INFORMATION

DOI10.1142/S0219493705001419zbMath1089.60027OpenAlexW2072750279MaRDI QIDQ5694410

Bernt Øksendal

Publication date: 30 September 2005

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493705001419

zbMATH Keywords

strong Markov processesdelayed information flowoptimal time to selloptimal time to stop resource extraction

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Related Items (17)

Optimal Stopping, Randomized Stopping, and Singular Control with General Information Flow ⋮ Discrete Approximations of Controlled Stochastic Systems with Memory: A Survey ⋮ The impact of operational delay on irreversible investment under Knightian uncertainty ⋮ Costly sequential experimentation and project valuation with an application to health technology assessment ⋮ Optimal stopping with random exercise lag ⋮ A general approximation method for optimal stopping and random delay ⋮ On the problems of sequential statistical inference for Wiener processes with delayed observations ⋮ Entry-exit decisions with underlying processes following geometric Lévy processes ⋮ Flexibility premium of emissions permits ⋮ Credit risk and asymmetric information: a simplified approach ⋮ Analysis of the optimal exercise boundary of American put options with delivery lags ⋮ An optimal stopping problem in a diffusion-type model with delay ⋮ Optimal stochastic impulse control with delayed reaction ⋮ Irreversible investment with random delay and partial prepayment ⋮ Entry and Exit Decision Problem with Implementation Delay ⋮ A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading ⋮ Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory

Cites Work

• Explicit Solution of Inventory Problems with Delivery Lags
• The impact of delivery lags on irreversible investment under uncertainty
• Stochastic differential equations. An introduction with applications.
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