A1 Refereed original research article in a scientific journal
Some results on optimal stopping under phase-type distributed implementation delay
Authors: Jukka Lempa
Publisher: SPRINGER HEIDELBERG
Publication year: 2020
Journal: Mathematical Methods of Operations Research
Journal name in source: MATHEMATICAL METHODS OF OPERATIONS RESEARCH
Journal acronym: MATH METHOD OPER RES
Volume: 91
Issue: 3
First page : 559
Last page: 583
Number of pages: 25
ISSN: 1432-2994
eISSN: 1432-5217
DOI: https://doi.org/10.1007/s00186-019-00694-6
Self-archived copy’s web address: https://research.utu.fi/converis/portal/detail/Publication/48730354
We study optimal stopping of strong Markov processes under random implementation delay. By random implementation delay we mean the following: the payoff is not realised immediately when the process is stopped but rather after a random waiting period. The distribution of the random waiting period is assumed to be phase-type. We prove first a general result on the solvability of the problem. Then we study the case of Coxian distribution both in general and with scalar diffusion dynamics in more detail. The study is concluded with two explicit examples.
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