R&D projects analyzed by semimartingale methods

DOI10.2307/3213773zbMath0564.60060OpenAlexW4250601337MaRDI QIDQ3678409

Knut Kristian Aase

Publication date: 1985

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3213773

zbMATH Keywords

compound Poisson processoptimal policystopping policy

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

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Ruin problems and myopic portfolio optimization in continuous trading ⋮ Contingent claims valuation when the security price is a combination of an Itō process and a random point process ⋮ Admissible investment strategies in continuous trading ⋮ Optimal investment in research and development under uncertainty

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