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A sequential stopping problem with costly reversibility
Tekijät: Lempa, Jukka; Saarinen, Harto; Taipale, Tarmo
Kustantaja: Applied Probability Trust
Julkaisuvuosi: 2025
Lehti: Journal of Applied Probability
ISSN: 0021-9002
eISSN: 1475-6072
DOI: https://doi.org/10.1017/jpr.2025.10033
Julkaisun avoimuus kirjaamishetkellä: Avoimesti saatavilla
Julkaisukanavan avoimuus : Osittain avoin julkaisukanava
Verkko-osoite: https://www.cambridge.org/core/journals/journal-of-applied-probability/article/sequential-stopping-problem-with-costly-reversibility/2EE4DD82CD3CDD8CDA0C9CA91C67CFD6
Rinnakkaistallenteen osoite: https://research.utu.fi/converis/portal/detail/Publication/508218530
Rinnakkaistallenteen lisenssi: CC BY
Rinnakkaistallennetun julkaisun versio: Kustantajan versio
We study sequential optimal stopping with partial reversibility. The optimal stopping problem is subject to implementation delay, which is random and exponentially distributed. Once the stopping decision is made, the decision maker can, by incurring a cost, call the decision off and restart the stopping problem. The optimization criterion is to maximize the expected present value of the total payoff. We characterize the value function in terms of a Bellman principle for a wide class of payoff functions and potentially multidimensional strong Markov dynamics. We also analyse the case of linear diffusion dynamics and characterize the value function and the optimal decision rule for a wide class of payoff functions.
Ladattava julkaisu This is an electronic reprint of the original article. |  |
Julkaisussa olevat rahoitustiedot:
The Foundation for Economic Education (Liikesivistysrahasto) and OP Research Foundation (grant number 20240114) are acknowledged for funding.
