Some results on optimal stopping under phase-type distributed implementation delay



: Jukka Lempa

Publisher: SPRINGER HEIDELBERG

: 2020

: Mathematical Methods of Operations Research

: MATHEMATICAL METHODS OF OPERATIONS RESEARCH

: MATH METHOD OPER RES

: 91

: 3

: 559

: 583

: 25

: 1432-2994

: 1432-5217

DOI: https://doi.org/10.1007/s00186-019-00694-6

: 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.

Last updated on 2024-26-11 at 22:54