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Optimal stopping with delayed information

Øksendal, Bernt
Research report
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pm23-04.pdf (203.0Kb)
Year
2004
Permanent link
http://urn.nb.no/URN:NBN:no-23671

Is part of
Preprint series. Pure mathematics
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  • Matematisk institutt [2479]
Abstract
We study a general optimal stopping problem for a strong Markov process in the case when there is a time lag $\delta>0$ from the time $\tau$ when the decision to stop is taken (a stopping time) to the time $\tau+\delta$ when the system actually stops. Equivalently, we impose the constraint that the admissible times for stopping are stopping (Markov) times with respect to the delayed flow of information. It is shown that such a problem can be reduced to a classical optimal stopping problem by a simple transformation. The results are applied

(i) to find the optimal time to sell an asset

(ii) to solve an optimal resource extraction problem,

in both cases under delayed information flow.
 
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