Optimal stopping with delayed information

Stochastics and Dynamics

Volumn 5, Issue 2, 2005, Pages 271-280

  Øksendal, Bernt ^a,b  

^a UNIVERSITY OF OSLO   (Norway)

^b NORWEGIAN SCHOOL OF ECONOMICS   (Norway)

Author keywords

Delayed information flow; Optimal stopping; Optimal time to sell; Optimal time to stop resource extraction; Strong Markov processes

Indexed keywords

EID: 33746295032     PISSN: 02194937     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219493705001419     Document Type: Article

References (7)

1. L. H. R. Alvarez and J. Keppo, The impact of delivery lags on irreversible investment demand under uncertainty, manuscript, March 1998.
2. L. H. R. Alvarez and J. Keppo, The impact of delivery lags on irreversible investment under uncertainty, Eur. J. Oper. Res. 136 (2002) 173-180.
3. R. M. Blumenthal and R. K. Getoor, Markov Processes and Potential Theory (Academic Press, 1968).
4. A. Bar-Ilan and A. Sulem, Explicit solution of inventory problems with delivery lags, Math. Oper. Res. 20 (1995) 709-720.
5. B. Øksendal, Stochastic Differential Equations, 6th edn. (Springer-Verlag, 2003).
6. B. Øksendal and A. Sulem, Applied Stochastic Control of Jump Diffusions (Springer-Verlag, 2004).
7. A. Shiryaev, Optimal Stopping Rules (Springer-Verlag, 1978).