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On the Threshold Strategies and Smooth-Fit Principle For Optimal Stopping Problems

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  • Stéphane Villeneuve

    (GREMAQ - Groupe de recherche en économie mathématique et quantitative - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique)

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Suggested Citation

  • Stéphane Villeneuve, 2007. "On the Threshold Strategies and Smooth-Fit Principle For Optimal Stopping Problems," Post-Print hal-00173165, HAL.
    • Handle: RePEc:hal:journl:hal-00173165
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    Cited by:

    1. Tao Zhang & Quanyan Zhu, 2020. "Implementability of Honest Multi-Agent Sequential Decision-Making with Dynamic Population," Papers 2003.03173, arXiv.org, revised May 2020.
    2. Jean-Paul Décamps & Stéphane Villeneuve, 2014. "Rethinking Dynamic Capital Structure Models With Roll-Over Debt," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 66-96, January.
    3. Décamps, Jean-Paul & Villeneuve, Stéphane, 2015. "Integrating profitability prospects and cash management," TSE Working Papers 15-570, Toulouse School of Economics (TSE).
    4. Manuel Guerra & Cláudia Nunes & Carlos Oliveira, 2021. "The optimal stopping problem revisited," Statistical Papers, Springer, vol. 62(1), pages 137-169, February.
    5. Gapeev Pavel V. & Rodosthenous Neofytos, 2013. "Perpetual American options in a diffusion model with piecewise-linear coefficients," Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 1-21, March.
    6. Tao Zhang & Quanyan Zhu, 2019. "On Incentive Compatibility in Dynamic Mechanism Design With Exit Option in a Markovian Environment," Papers 1909.13720, arXiv.org, revised May 2021.
    7. Tiziano De Angelis & Yerkin Kitapbayev, 2018. "On the Optimal Exercise Boundaries of Swing Put Options," Mathematics of Operations Research, INFORMS, vol. 43(1), pages 252-274, February.
    8. Strulovici, Bruno & Szydlowski, Martin, 2015. "On the smoothness of value functions and the existence of optimal strategies in diffusion models," Journal of Economic Theory, Elsevier, vol. 159(PB), pages 1016-1055.
    9. Strulovici, Bruno & Szydlowski, Martin, 2012. "On the Smoothness of Value Functions," MPRA Paper 36326, University Library of Munich, Germany, revised 31 Jan 2012.
    10. Th'eo Durandard & Matteo Camboni, 2024. "Comparative Statics for Optimal Stopping Problems in Nonstationary Environments," Papers 2402.06999, arXiv.org, revised Jul 2024.
    11. Li, Peng & Zhou, Ming & Yin, Chuancun, 2015. "Optimal reinsurance with both proportional and fixed costs," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 134-141.
    12. Jérôme Detemple & Weidong Tian & Jie Xiong, 2012. "An optimal stopping problem with a reward constraint," Finance and Stochastics, Springer, vol. 16(3), pages 423-448, July.
    13. Thomas Kruse & Philipp Strack, 2019. "An Inverse Optimal Stopping Problem for Diffusion Processes," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 423-439, May.
    14. S. C. P. Yam & S. P. Yung & W. Zhou, 2014. "Game Call Options Revisited," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 173-206, January.
    15. Jason S. Anquandah & Leonid V. Bogachev, 2019. "Optimal Stopping and Utility in a Simple Modelof Unemployment Insurance," Risks, MDPI, vol. 7(3), pages 1-41, September.
    16. Tao Zhang & Quanyan Zhu, 2022. "On Incentive Compatibility in Dynamic Mechanism Design With Exit Option in a Markovian Environment," Dynamic Games and Applications, Springer, vol. 12(2), pages 701-745, June.
    17. Erik Ekström & Martin Vannestål, 2019. "American Options And Incomplete Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-14, September.

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