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On the optimal stopping problem for one-dimensional diffusions

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  1. Tiziano De Angelis & Fabien Gensbittel & St'ephane Villeneuve, 2017. "A Dynkin game on assets with incomplete information on the return," Papers 1705.07352, arXiv.org, revised May 2019.
  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. Zhenya Liu & Yuhao Mu, 2022. "Optimal Stopping Methods for Investment Decisions: A Literature Review," IJFS, MDPI, vol. 10(4), pages 1-23, October.
  4. S. C. P. Yam & W. Zhou, 2017. "Optimal Liquidation of Child Limit Orders," Mathematics of Operations Research, INFORMS, vol. 42(2), pages 517-545, May.
  5. Savas Dayanik, 2008. "Optimal Stopping of Linear Diffusions with Random Discounting," Mathematics of Operations Research, INFORMS, vol. 33(3), pages 645-661, August.
  6. Sabri Boubaker & Zhenya Liu & Yaosong Zhan, 2022. "Risk management for crude oil futures: an optimal stopping-timing approach," Annals of Operations Research, Springer, vol. 313(1), pages 9-27, June.
  7. Vicky Henderson & Jonathan Muscat, 2020. "Partial liquidation under reference-dependent preferences," Finance and Stochastics, Springer, vol. 24(2), pages 335-357, April.
  8. Jean-Paul Décamps & Stéphane Villeneuve, 2007. "Optimal dividend policy and growth option," Finance and Stochastics, Springer, vol. 11(1), pages 3-27, January.
  9. Jukka Lempa, 2008. "The Optimal Stopping Problem of Dupuis and Wang: A Generalization," Discussion Papers 36, Aboa Centre for Economics.
  10. Erhan Bayraktar & Masahiko Egami, 2008. "An Analysis of Monotone Follower Problems for Diffusion Processes," Mathematics of Operations Research, INFORMS, vol. 33(2), pages 336-350, May.
  11. Sören Christensen, 2014. "A Method For Pricing American Options Using Semi-Infinite Linear Programming," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 156-172, January.
  12. Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, August.
  13. H. Dharma Kwon & Steven A. Lippman, 2019. "Acquisition of Project-Specific Assets with Bayesian Updating," Papers 1901.04120, arXiv.org.
  14. de Angelis, Tiziano & Ferrari, Giorgio & Moriarty, John, 2016. "A solvable two-dimensional degenerate singular stochastic control problem with non convex costs," Center for Mathematical Economics Working Papers 531, Center for Mathematical Economics, Bielefeld University.
  15. de Angelis, Tiziano & Ferrari, Giorgio & Moriarty, John, 2016. "Nash equilibria of threshold type for two-player nonzero-sum games of stopping," Center for Mathematical Economics Working Papers 563, Center for Mathematical Economics, Bielefeld University.
  16. Tim Leung & Xin Li & Zheng Wang, 2014. "Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs," Papers 1411.6080, arXiv.org.
  17. Manuel Guerra & Cláudia Nunes & Carlos Oliveira, 2021. "The optimal stopping problem revisited," Statistical Papers, Springer, vol. 62(1), pages 137-169, February.
  18. Vicky Henderson & David Hobson & Matthew Zeng, 2023. "Cautious stochastic choice, optimal stopping and deliberate randomization," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(3), pages 887-922, April.
  19. Jukka Lempa, 2008. "On infinite horizon optimal stopping of general random walk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(2), pages 257-268, April.
  20. Ferrari, Giorgio, 2018. "On a Class of Singular Stochastic Control Problems for Reflected Diffusions," Center for Mathematical Economics Working Papers 592, Center for Mathematical Economics, Bielefeld University.
  21. Tiziano De Angelis & Fabien Gensbittel & Stephane Villeneuve, 2021. "A Dynkin Game on Assets with Incomplete Information on the Return," Mathematics of Operations Research, INFORMS, vol. 46(1), pages 28-60, February.
  22. 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.
  23. Lingfei Li & Vadim Linetsky, 2013. "Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach," Operations Research, INFORMS, vol. 61(3), pages 625-643, June.
  24. Bolton, Patrick & Wang, Neng & Yang, Jinqiang, 2019. "Investment under uncertainty with financial constraints," Journal of Economic Theory, Elsevier, vol. 184(C).
  25. Bayraktar, Erhan & Egami, Masahiko, 2007. "The effects of implementation delay on decision-making under uncertainty," Stochastic Processes and their Applications, Elsevier, vol. 117(3), pages 333-358, March.
  26. Erik Ekström, 2006. "Properties of game options," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(2), pages 221-238, May.
  27. Li, Peng & Zhou, Ming & Yao, Dingjun, 2022. "Optimal time for the excess of loss reinsurance with fixed costs," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 466-475.
  28. Alvarez E., Luis H.R. & Lempa, Jukka & Saarinen, Harto & Sillanpää, Wiljami, 2024. "Solutions for Poissonian stopping problems of linear diffusions via extremal processes," Stochastic Processes and their Applications, Elsevier, vol. 172(C).
  29. Erhan Bayraktar & Masahiko Egami, 2010. "A unified treatment of dividend payment problems under fixed cost and implementation delays," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 325-351, April.
  30. Miclo, Laurent & Villeneuve, Stéphane, 2019. "On the forward algorithm for stopping problems on continuous-time Markov chains," TSE Working Papers 19-1009, Toulouse School of Economics (TSE).
  31. Roman Gayduk & Sergey Nadtochiy, 2020. "Control-Stopping Games for Market Microstructure and Beyond," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1289-1317, November.
  32. Egami, Masahiko, 2010. "A game options approach to the investment problem with convertible debt financing," Journal of Economic Dynamics and Control, Elsevier, vol. 34(8), pages 1456-1470, August.
  33. Giorgio Ferrari & Torben Koch, 2019. "On a strategic model of pollution control," Annals of Operations Research, Springer, vol. 275(2), pages 297-319, April.
  34. Kavtaradze, T. & Lazrieva, N. & Mania, M. & Muliere, P., 2007. "A Bayesian-martingale approach to the general disorder problem," Stochastic Processes and their Applications, Elsevier, vol. 117(8), pages 1093-1120, August.
  35. Aïd, René & Li, Liangchen & Ludkovski, Michael, 2017. "Capacity expansion games with application to competition in power generation investments," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 1-31.
  36. Egami, Masahiko, 2009. "A framework for the study of expansion options, loan commitments and agency costs," Journal of Corporate Finance, Elsevier, vol. 15(3), pages 345-357, June.
  37. Xun Li & Xianping Wu & Wenxin Zhou, 2017. "Optimal stopping investment in a logarithmic utility-based portfolio selection problem," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-10, December.
  38. 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.
  39. Jingtang Ma & Jie Xing & Harry Zheng, 2018. "Global Closed-form Approximation of Free Boundary for Optimal Investment Stopping Problems," Papers 1810.09397, arXiv.org.
  40. Egami, Masahiko & Young, Virginia R., 2009. "Optimal reinsurance strategy under fixed cost and delay," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 1015-1034, March.
  41. Pui Chan Lon & Mihail Zervos, 2011. "A Model for Optimally Advertising and Launching a Product," Mathematics of Operations Research, INFORMS, vol. 36(2), pages 363-376, May.
  42. Hobson, David, 2021. "The shape of the value function under Poisson optimal stopping," Stochastic Processes and their Applications, Elsevier, vol. 133(C), pages 229-246.
  43. Liangchen Li & Michael Ludkovski, 2018. "Stochastic Switching Games," Papers 1807.03893, arXiv.org.
  44. Volker Krätschmer & Marcel Ladkau & Roger J. A. Laeven & John G. M. Schoenmakers & Mitja Stadje, 2018. "Optimal Stopping Under Uncertainty in Drift and Jump Intensity," Mathematics of Operations Research, INFORMS, vol. 43(4), pages 1177-1209, November.
  45. Tiziano De Angelis & Giorgio Ferrari & John Moriarty, 2019. "A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 512-531, May.
  46. Savas Dayanik & Semih Sezer, 2012. "Multisource Bayesian sequential binary hypothesis testing problem," Annals of Operations Research, Springer, vol. 201(1), pages 99-130, December.
  47. Masahiko Egami & Mingxin Xu, 2009. "A continuous-time search model with job switch and jumps," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(2), pages 241-267, October.
  48. Federico, Salvatore & Ferrari, Giorgio & Schuhmann, Patrick, 2020. "Singular Control of the Drift of a Brownian System," Center for Mathematical Economics Working Papers 637, Center for Mathematical Economics, Bielefeld University.
  49. Karatzas, Ioannis & Yan, Minghan, 2019. "Semimartingales on rays, Walsh diffusions, and related problems of control and stopping," Stochastic Processes and their Applications, Elsevier, vol. 129(6), pages 1921-1963.
  50. René Carmona & Savas Dayanik, 2008. "Optimal Multiple Stopping of Linear Diffusions," Mathematics of Operations Research, INFORMS, vol. 33(2), pages 446-460, May.
  51. Lempa, Jukka & Mordecki, Ernesto & Salminen, Paavo, 2024. "Diffusion spiders: Green kernel, excessive functions and optimal stopping," Stochastic Processes and their Applications, Elsevier, vol. 167(C).
  52. Xiongfei Jian & Xun Li & Fahuai Yi, 2014. "Optimal Investment with Stopping in Finite Horizon," Papers 1406.6940, arXiv.org.
  53. Tim Leung & Xin Li & Zheng Wang, 2015. "Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs," Papers 1504.04682, arXiv.org.
  54. Tim Leung & Hongzhong Zhang, 2017. "Optimal Trading with a Trailing Stop," Papers 1701.03960, arXiv.org, revised Mar 2019.
  55. Christensen, Sören, 2014. "On the solution of general impulse control problems using superharmonic functions," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 709-729.
  56. de Angelis, Tiziano & Ferrari, Giorgio & Martyr, Randall & Moriarty, John, 2016. "Optimal entry to an irreversible investment plan with non convex costs," Center for Mathematical Economics Working Papers 566, Center for Mathematical Economics, Bielefeld University.
  57. Pekka Matomäki, 2012. "On solvability of a two-sided singular control problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(3), pages 239-271, December.
  58. Sören Christensen, 2013. "Optimal decision under ambiguity for diffusion processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(2), pages 207-226, April.
  59. Li, Lingfei & Linetsky, Vadim, 2014. "Optimal stopping in infinite horizon: An eigenfunction expansion approach," Statistics & Probability Letters, Elsevier, vol. 85(C), pages 122-128.
  60. Zbigniew Palmowski & Jos'e Luis P'erez & Kazutoshi Yamazaki, 2020. "Double continuation regions for American options under Poisson exercise opportunities," Papers 2004.03330, arXiv.org.
  61. Cetin, Umut, 2018. "Diffusion transformations, Black-Scholes equation and optimal stopping," LSE Research Online Documents on Economics 87261, London School of Economics and Political Science, LSE Library.
  62. H. Dharma Kwon & Steven A. Lippman, 2011. "Acquisition of Project-Specific Assets with Bayesian Updating," Operations Research, INFORMS, vol. 59(5), pages 1119-1130, October.
  63. Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021. "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, vol. 78(C).
  64. Erhan Bayraktar & Masahiko Egami, 2010. "On the One-Dimensional Optimal Switching Problem," Mathematics of Operations Research, INFORMS, vol. 35(1), pages 140-159, February.
  65. Christensen, Sören & Irle, Albrecht, 2020. "The monotone case approach for the solution of certain multidimensional optimal stopping problems," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1972-1993.
  66. de Angelis, Tiziano & Ferrari, Giorgio & Moriarty, John, 2016. "A solvable two-dimensional singular stochastic control problem with non convex costs," Center for Mathematical Economics Working Papers 561, Center for Mathematical Economics, Bielefeld University.
  67. Tim Leung & Xin Li, 2015. "Optimal Mean Reversion Trading With Transaction Costs And Stop-Loss Exit," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.
  68. R. Stockbridge, 2014. "Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(1), pages 137-162, January.
  69. Naoki Makimoto & Ryuta Takashima, 2023. "Capacity Market and Investments in Power Generations: Risk-Averse Decision-Making of Power Producer," Energies, MDPI, vol. 16(10), pages 1-19, May.
  70. H. Dharma Kwon, 2010. "Invest or Exit? Optimal Decisions in the Face of a Declining Profit Stream," Operations Research, INFORMS, vol. 58(3), pages 638-649, June.
  71. Katia Colaneri & Tiziano De Angelis, 2019. "A class of recursive optimal stopping problems with applications to stock trading," Papers 1905.02650, arXiv.org, revised Jun 2021.
  72. Shackleton, Mark B. & Sødal, Sigbjørn, 2010. "Harvesting and recovery decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2533-2546, December.
  73. Roman Gayduk & Sergey Nadtochiy, 2017. "Control-stopping Games for Market Microstructure and Beyond," Papers 1708.00506, arXiv.org, revised Mar 2019.
  74. Thijssen, Jacco J.J. & Bregantini, Daniele, 2017. "Costly sequential experimentation and project valuation with an application to health technology assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 202-229.
  75. 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.
  76. Masahiko Egami & Tadao Oryu, 2017. "A direct solution method for pricing options involving the maximum process," Finance and Stochastics, Springer, vol. 21(4), pages 967-993, October.
  77. Moriarty, John & Palczewski, Jan, 2017. "Real option valuation for reserve capacity," European Journal of Operational Research, Elsevier, vol. 257(1), pages 251-260.
  78. Abel Cadenillas & Robert Elliott & Hong Miao & Zhenyu Wu, 2009. "Risk-Hedging in Real Estate Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 265-285, December.
  79. Alex S. L. Tse & Harry Zheng, 2023. "Speculative trading, prospect theory and transaction costs," Finance and Stochastics, Springer, vol. 27(1), pages 49-96, January.
  80. Luis H. R. Alvarez E. & Paavo Salminen, 2017. "Timing in the presence of directional predictability: optimal stopping of skew Brownian motion," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(2), pages 377-400, October.
  81. Vicky Henderson, 2012. "Prospect Theory, Liquidation, and the Disposition Effect," Management Science, INFORMS, vol. 58(2), pages 445-460, February.
  82. 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.
  83. Liu, Zhenya & Zhan, Yaosong, 2022. "Investor behavior and filter rule revisiting," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).
  84. Giorgio Ferrari & Tiziano Vargiolu, 2020. "On the singular control of exchange rates," Annals of Operations Research, Springer, vol. 292(2), pages 795-832, September.
  85. John Moriarty & Jan Palczewski, 2019. "Imbalance Market Real Options and the Valuation of Storage in Future Energy Systems," Risks, MDPI, vol. 7(2), pages 1-30, April.
  86. Masahiko Egami & Rusudan Kevkhishvili, 2017. "A Direct Solution Method for Pricing Options in Regime-switching Models," Papers 1711.08883, arXiv.org, revised Sep 2018.
  87. Soren Christensen, 2011. "A method for pricing American options using semi-infinite linear programming," Papers 1103.4483, arXiv.org, revised Jun 2011.
  88. Ferrari, Giorgio & Koch, Torben, 2018. "On a Strategic Model of Pollution Control," Center for Mathematical Economics Working Papers 586, Center for Mathematical Economics, Bielefeld University.
  89. 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.
  90. Alex S. L. Tse & Harry Zheng, 2019. "Speculative Trading, Prospect Theory and Transaction Costs," Papers 1911.10106, arXiv.org, revised Oct 2022.
  91. Christensen, Sören & Fischer, Simon, 2023. "A new integral equation for Brownian stopping problems with finite time horizon," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 338-360.
  92. Luigi De Cesare & Lucianna Cananà & Tiziana Ciano & Massimiliano Ferrara, 2024. "Modeling financial leasing by optimal stopping approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 199-213, June.
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