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Some results on optimal stopping under phase-type distributed implementation delay
Tekijät: Jukka Lempa
Kustantaja: SPRINGER HEIDELBERG
Julkaisuvuosi: 2020
Journal: Mathematical Methods of Operations Research
Tietokannassa oleva lehden nimi: MATHEMATICAL METHODS OF OPERATIONS RESEARCH
Lehden akronyymi: MATH METHOD OPER RES
Vuosikerta: 91
Numero: 3
Aloitussivu: 559
Lopetussivu: 583
Sivujen määrä: 25
ISSN: 1432-2994
eISSN: 1432-5217
DOI: https://doi.org/10.1007/s00186-019-00694-6
Rinnakkaistallenteen osoite: 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.
Ladattava julkaisu This is an electronic reprint of the original article. |  |
