Optimal exit strategies for investment projects

DOI10.1016/j.jmaa.2014.12.029zbMath1305.91237OpenAlexW3123908417MaRDI QIDQ2512665

Etienne Chevalier, Vathana Ly Vath, Alexandre F. Roch, Simone Scotti

Publication date: 30 January 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.12.029

zbMATH Keywords

stochastic controlreal optionsviscosity solutionssystem of variational inequalitiesliquidity discountregime shifting

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Corporate finance (dividends, real options, etc.) (91G50)

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