Optimal entry and exit decisions under uncertainty and the impact of mean reversion

DOI10.1007/S43069-022-00161-9zbMath1501.91179OpenAlexW4296962940WikidataQ114686975 ScholiaQ114686975MaRDI QIDQ2079296

Jostein Tvedt

Publication date: 29 September 2022

Published in: SN Operations Research Forum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s43069-022-00161-9

zbMATH Keywords

stochastic processesreal optionsmean reversionoptimal switching

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites Work

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• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Optimal Switching in an Economic Activity under Uncertainty
• Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments

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