Optimal stopping of expected profit and cost yields in an investment under uncertainty
نویسندگان
چکیده
منابع مشابه
Optimal stopping of expected profit and cost yields in an investment under uncertainty
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell envelopes for the profit and cost yields which act as obstacles to each other. We then construct both a minimal and a maximal solutions using an approximation sc...
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ژورنال
عنوان ژورنال: Stochastics
سال: 2011
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442508.2010.516828