Optimal Selling of an Asset with Jumps Under Incomplete Information

DOI10.1080/1350486X.2013.810462zbMath1396.91694MaRDI QIDQ4585004

Bing Lu

Publication date: 5 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingincomplete informationjump diffusion modeloptimal selling of an asset

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

Related Items (6)

Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach ⋮ Dynkin Games with Incomplete and Asymmetric Information ⋮ Asset liquidation under drift uncertainty and regime-switching volatility ⋮ Optimal entry decision of unemployment insurance under partial information ⋮ Optimal Liquidation of an Asset under Drift Uncertainty ⋮ AMERICAN OPTIONS AND INCOMPLETE INFORMATION

Cites Work

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• Sequential Decision Problems for Processes with Continuous time Parameter. Testing Hypotheses
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels

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