Optimal regulatory control of early contract termination

DOI10.1093/imaman/dpt010zbMath1291.62267OpenAlexW2154425624MaRDI QIDQ5165558

Paul Johnson, Peter W. Duck, Geoffrey W. Evatt

Publication date: 30 June 2014

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: http://eprints.maths.manchester.ac.uk/1987/1/evatt_prob_constraint.pdf

zbMATH Keywords

uncertaintyoptimal controlregulationreal optionsprobabilistic constraints

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Corporate finance (dividends, real options, etc.) (91G50)

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On closed form expressions for probability of operational success and expected lifetime

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