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• W1986374674 abstract "We study the optimal stopping problem proposed by Dupuis and Wang (Adv. Appl. Probab. 34:141–157, 2002). In this maximization problem of the expected present value of the exercise payoff, the underlying dynamics follow a linear diffusion. The decision maker is not allowed to stop at any time she chooses but rather on the jump times of an independent Poisson process. Dupuis and Wang (Adv. Appl. Probab. 34:141–157, 2002), solve this problem in the case where the underlying is a geometric Brownian motion and the payoff function is of American call option type. In the current study, we propose a mild set of conditions (covering the setup of Dupuis and Wang in Adv. Appl. Probab. 34:141–157, 2002) on both the underlying and the payoff and build and use a Markovian apparatus based on the Bellman principle of optimality to solve the problem under these conditions. We also discuss the interpretation of this model as optimal timing of an irreversible investment decision under an exogenous information constraint." @default.
• W1986374674 created "2016-06-24" @default.
• W1986374674 creator A5074357271 @default.
• W1986374674 date "2012-03-23" @default.
• W1986374674 modified "2023-09-29" @default.
• W1986374674 title "Optimal Stopping with Information Constraint" @default.
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• W1986374674 doi "https://doi.org/10.1007/s00245-012-9166-0" @default.
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