Comment on "investment timing under incomplete information"

Mathematics of Operations Research

Volumn 34, Issue 1, 2009, Pages 249-254

  Klein, Manuel ^a  

^a INSEAD   (France)

Author keywords

Filtering; Free boundary; Investment under uncertainty; Optimal stopping

Indexed keywords

ANALYTICAL SOLUTIONS; DECISION MAKERS; FILTERING; FREE BOUNDARY; INCOMPLETE INFORMATION; INVESTMENT TIMING; INVESTMENT UNDER UNCERTAINTY; MARIOTTI; NUMERICAL EXAMPLE; OPTIMAL STOPPING; OPTIMAL TIMING; SEPARATE EFFECTS; SMOOTH FIT;

EDUCATION; OPTIMIZATION; TIME MEASUREMENT; UNCERTAINTY ANALYSIS;

INVESTMENTS;

EID: 67650000502     PISSN: 0364765X     EISSN: 15265471     Source Type: Journal    
DOI: 10.1287/moor.1080.0349     Document Type: Article

References (6)

1. Chen, N., S. G. Kou. 2005. Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk. Working paper, Columbia University, New York. http://www.cfe.columbia.edu/pdf-files/kou-07-05. pdf.
2. Décamps, J.-P., T. Mariotti, S. Villeneuve. 2005. Investment timing under incomplete information. Math. Oper. Res. 30(2) 472-500.
3. Dixit, A. 1993. The Art of Smooth Pasting., Vol. 55. Harwood Academic Publishers, Newark, NJ.
4. Klein, M. 2007. Irreversible investment under incomplete information. Working paper, INSEAD, Fontainebleau, France. www.manuelklein.com.
5. Lamberton, D., M. Zervos. 2006. On the problem of optimally stopping a one-dimensional Itô diffusion. Working paper, London School of Economics, UK.
6. Shiryaev, A. N. 1978. Optimal Stopping Rules. Springer, New York.