Embeddings in brownian motion
Ensembles analytiques et temps d'arrêt
Entry-exit decisions with implementation delay under uncertainty
We employ a natural method from the perspective of the optimal stopping theory to analyze entry-exit decisions with implementation delay of a project, and provide closed expressions for optimal entry decision times, optimal exit decision times, and the maximal expected present value of the project. The results in conventional research were obtained under the restriction that the sum of the entry cost and exit cost is nonnegative. In practice, we may meet cases when this sum is negative, so it is...
Enveloppe de Snell d'un processus à paramètre bidimensionnel
Erratum / Correction to : “A bound on the moment generating function of a sum of dependent variables with an application to simple random sampling without replacement”