On optimal timing of investment when cost components are additive and follow geometric diffusions

DOI10.1016/0165-1889(92)90004-XzbMath0751.90021MaRDI QIDQ1186061

Trond E. Olsen, Gunnar Stensland

Publication date: 28 June 1992

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

optimal stopping rulegeometric Brownian motions

Mathematics Subject Classification ID

Brownian motion (60J65) Economic growth models (91B62) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (14)

Optimal and strategic timing of mergers and acquisitions motivated by synergies and risk diversification ⋮ Bounds for expected payoff on two stocks ⋮ Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes ⋮ On an irreversible investment problem with two-factor uncertainty ⋮ Pareto Optimality in a Bicriterion Optimal Stopping Problem ⋮ Multidimensional investment problem ⋮ On a problem of optimal stopping in mathematical finance ⋮ On Wald Optimal Stopping Problem for Geometric Brownian Motions ⋮ Optimal Time to Exchange Two Baskets ⋮ The monotone case approach for the solution of certain multidimensional optimal stopping problems ⋮ Optimal Stopping Problem with a Vector-Valued Reward Function ⋮ A harmonic function technique for the optimal stopping of diffusions ⋮ Kalman filter approach to real options with active learning ⋮ Resolvent-techniques for multiple exercise problems

Cites Work

• Stochastic differential equations. An introduction with applications
• Unnamed Item
• Unnamed Item

This page was built for publication: On optimal timing of investment when cost components are additive and follow geometric diffusions