Optimal stopping with information constraint

DOI10.1007/S00245-012-9166-0zbMath1269.93134OpenAlexW1986374674MaRDI QIDQ2391931

Jukka Lempa

Publication date: 5 August 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/41919

zbMATH Keywords

optimal stoppingresolvent operatorPoisson processBellman principle of optimalitygeometric Brownian motionlinear diffusionirreversible investmentmaximization problemexercise payoffexogenous information constraintMarkovian apparatus

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

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