An explicit solution for an optimal stopping/optimal control problem which models an asset sale

DOI10.1214/07-AAP511zbMath1165.60021arXiv0806.4061OpenAlexW2156536863MaRDI QIDQ957514

Vicky Henderson, David G. Hobson

Publication date: 27 November 2008

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

Full work available at URL: https://arxiv.org/abs/0806.4061

zbMATH Keywords

optimal stoppingincomplete marketlocal timeutility maximizationsingular controlgambling

Mathematics Subject Classification ID

Related Items (13)

Exit option for a class of profit functions ⋮ Optimal Stopping and Reselling of European Options ⋮ Optimal investment with stopping in finite horizon ⋮ A stochastic control problem and related free boundaries in finance ⋮ Explicit solutions for an optimal stock selling problem under a Markov chain model ⋮ Optimal stopping investment with non-smooth utility over an infinite time horizon ⋮ Optimal selling of an asset under incomplete information ⋮ LIQUIDATION OF AN INDIVISIBLE ASSET WITH INDEPENDENT INVESTMENT ⋮ OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE ⋮ Optimal Liquidation of an Asset under Drift Uncertainty ⋮ Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems ⋮ Optimal Consumption and Sale Strategies for a Risk Averse Agent ⋮ Convergence of option rewards for multivariate price processes

Cites Work

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• Valuing the option to invest in an incomplete market
• Optimal stopping and best constants for Doob-like inequalities. I: The case \(p=1\)
• Control and stopping of a diffusion process on an interval
• Hedging American contingent claims with constrained portfolios
• A leavable bounded-velocity stochastic control problem.
• OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE
• Utility Maximization with Discretionary Stopping

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