Advanced search
Publication Cover
Stochastics
An International Journal of Probability and Stochastic Processes
Volume 83, 2011 - Issue 4-6: Optimal stopping with Applications
Submit an article Journal homepage
163
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Optimal stopping of expected profit and cost yields in an investment under uncertainty

Boualem Djehiche Department of Mathematics, The Royal Institute of Technology, SE-100 44, Stockholm, SwedenCorrespondence[email protected]
,
Said Hamadène Département de Mathématiques, Equipe Statistique et Processus, Université du Maine, Avenue Olivier Messiaen, 72085, Le Mans, Cedex 9, FranceView further author information
&
Marie-Amélie Morlais Département de Mathématiques, Equipe Statistique et Processus, Université du Maine, Avenue Olivier Messiaen, 72085, Le Mans, Cedex 9, FranceView further author information
Pages 431-448 | Received 29 Oct 2009, Accepted 16 Aug 2010, Published online: 08 Jun 2011

References

  • Brennan , M.J. and Schwartz , E.S. 1985 . Evaluating natural resource investments . J. Bus. , 58 : 135 – 137 .
  • Dellacherie , C. and Meyer , P.A. 1975 . Probabilités et potentiels , Paris : Hermann . Chapter I–IV
  • Dixit , A. and Pindyck , R.S. 1994 . Investment Under Uncertainty , Princeton, NJ : Princeton University Press .
  • El Karoui , N. 1980 . “ Les aspects probabilistes du contrôle stochastique ” . In Ecole d'été de probabilités de Saint-Flour , Lecture Notes in Mathematics No 876 Berlin : Springer Verlag .
  • El Karoui , N. , Kapoudjan , C. , Pardoux , E. , Peng , S. and Quenez , M.-C. 1997 . Reflected solutions of backward SDE's and related problems for PDE's . Ann. Prob. , 25 ( 2 ) : 702 – 737 .
  • Korn , R. 1999 . Some applications of impulse control in mathematical finance . Math. Methods Oper. Res. , 50 : 493 – 518 .
  • Pardoux , E. and Peng , S. 1990 . Adapted solution of BSDE . Syst. Control Lett. , 14 : 55 – 61 .
  • Peng , S. 1999 . Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type . Prob. Theory Relat. Fields , 113 : 473 – 499 .
  • Trigeorgis , L. 1996 . Real Options: Managerial Flexibility and Strategy in Resource Allocation , Cambridge, MA : MIT Press .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.