The effects of implementation delay on decision-making under uncertainty

DOI10.1016/j.spa.2006.08.004zbMath1115.93095arXivmath/0703833OpenAlexW1972875256MaRDI QIDQ869101

Erhan Bayraktar, Masahiko Egami

Publication date: 26 February 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703833

zbMATH Keywords

optimal stoppingimpulse controlimplementation delayfiring and hiring decisions

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (11)

AN OPTIMAL DIVIDEND POLICY WITH DELAYED CAPITAL INJECTIONS ⋮ Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients ⋮ Optimal stochastic impulse control with random coefficients and execution delay ⋮ On the problems of sequential statistical inference for Wiener processes with delayed observations ⋮ Analysis of the optimal exercise boundary of American put options with delivery lags ⋮ A unified treatment of dividend payment problems under fixed cost and implementation delays ⋮ Optimal reinsurance strategy under fixed cost and delay ⋮ Impulse control problem on finite horizon with execution delay ⋮ A Finite Horizon Optimal Stochastic Impulse Control Problem with A Decision Lag ⋮ Optimal stochastic impulse control with delayed reaction ⋮ A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Hiring and firing optimally in a large corporation
• Applied stochastic control of jump diffusions.
• A generalized impulse control model of cash management
• Optimal stochastic impulse control with delayed reaction
• A model of sequential investment
• Optimal stochastic intervention control with application to the exchange rate
• Stochastic control problems where small intervention costs have big effects
• A class of solvable impulse control problems
• A class of solvable stochastic dividend optimization problems: on the general impact of flexibility on valuation
• On the optimal stopping problem for one-dimensional diffusions.
• The Liquidity Discount
• Firing Costs and Labour Demand: How Bad is Eurosclerosis?
• Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
• Stochastic Forest Stand Value and Optimal Timber Harvesting
• A Bounded Variation Control Problem for Diffusion Processes
• The impact of delivery lags on irreversible investment under uncertainty

This page was built for publication: The effects of implementation delay on decision-making under uncertainty