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  • Search: subject:"stopping problem"
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Year of publication
Subject
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optimal stopping problem 29 Search theory 23 Suchtheorie 23 Optimal stopping problem 17 Asymmetric information 6 Asymmetrische Information 6 Mathematical Tools 6 Mathematical programming 6 Mathematische Optimierung 6 Optimal Stopping Problem 6 Stochastic process 6 Stochastischer Prozess 6 Stopping problem 6 Dynamic programming 5 Markov chain 5 Markov-Kette 5 Option pricing theory 5 Optionspreistheorie 5 addiction 5 quitting 5 real options analysis 5 smoking 5 stopping problem 5 Agency theory 4 Prinzipal-Agent-Theorie 4 Real options analysis 4 Realoptionsansatz 4 Theorie 4 Theory 4 compound Poisson process 4 continuous and smooth fit 4 integro-differential free-boundary problem 4 Black-Scholes model 3 Black-Scholes-Modell 3 Decision 3 Decision theory 3 Decision under uncertainty 3 Discounted optimal stopping problem 3 Dividend 3 Dynamische Optimierung 3
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Online availability
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Undetermined 39 Free 28 CC license 1
Type of publication
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Article 46 Book / Working Paper 33
Type of publication (narrower categories)
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Article in journal 26 Aufsatz in Zeitschrift 26 Working Paper 9 Graue Literatur 8 Non-commercial literature 8 Arbeitspapier 6 Preprint 2 Article 1 Thesis 1
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Language
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English 47 Undetermined 31 German 1
Author
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Gapeev, Pavel V. 8 Kohn, Wolfgang 6 Chen, Yu-Fu 5 Jeon, Junkee 5 Petrie, Dennis 5 Bergemann, Dirk 4 Park, Kyunghyun 4 Strack, Philipp 4 Auster, Sarah 3 Kellner, Christian 3 Miao, Jianjun 3 Wang, Neng 3 Wälde, Klaus 3 Cavazos-Cadena, Rolando 2 Chritonenko, Natalija V. 2 Dechenaux, Emmanuel 2 Goldfarb, Brent 2 Guo, Peijun 2 Jacenko, Jurij P. 2 Kingston, Geoffrey H. 2 Koo, Hyeng-keun 2 Li, Yonggang 2 Shane, Scott 2 Bajari, Patrick L. 1 Belomestny, Denis 1 Bensoussan, Alain 1 Bhattacharjya, Debarun 1 Brandt, Andreas 1 Capan, Muge 1 Chang, Ming-Chi 1 Christensen, Sören 1 Chu, Chenghuan Sean 1 Corbett, Charles J. 1 DAHLGREN, MARTIN 1 Dahlgren, M. 1 David M., Ramsey 1 Deleris, Léa A. 1 Dendievel, Rémi 1 Disser, Yann 1 Décamps, Jean-Paul 1
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 6 Department of Economics, Boston University 3 Agricultural and Applied Economics Association - AAEA 2 Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft (ZBW) 2 Scottish Institute for Research in Economics (SIRE) 2 Department of Economics Studies, University of Dundee 1 Society for Economic Dynamics - SED 1 Stanford Institute for Economic Policy Research (SIEPR), Stanford University 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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SFB 649 Discussion Papers 6 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2 Boston University - Department of Economics - Working Papers Series 2 Decision analysis : a journal of the Institute for Operations Research and the Management Sciences, INFORMS 2 Discussion papers / CEPR 2 EconStor Preprints 2 Finance and Stochastics 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Mathematics and financial economics 2 Quantitative finance 2 SIRE Discussion Papers 2 Statistics & Risk Modeling 2 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 2 Applied mathematical finance 1 Boston University - Department of Economics - The Institute for Economic Development Working Papers Series 1 Computational Economics 1 Computational Statistics 1 Computational economics 1 Cowles Foundation discussion paper 1 Discussion Papers / Stanford Institute for Economic Policy Research (SIEPR), Stanford University 1 Discussion paper / Institut de Recherches Économiques et Sociales de l'Université Catholique de Louvain 1 Dundee Discussion Papers in Economics 1 Dynamic games and applications : DGA 1 ECONtribute Discussion Paper 1 ECONtribute discussion paper 1 Economic theory 1 European Journal of Operational Research 1 European journal of operational research : EJOR 1 Finance and stochastics 1 Insurance: Mathematics and Economics 1 International journal of production economics 1 International journal of theoretical and applied finance 1 Jena Economic Research Papers 1 Jena economics research papers 1 Journal of behavioral and experimental finance 1 Journal of economic dynamics & control 1 MPRA Paper 1 Management Science 1 Management decision 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1
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Source
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RePEc 36 ECONIS (ZBW) 34 EconStor 6 Other ZBW resources 2 BASE 1
Showing 51 - 60 of 79
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On Maximal Inequalities for some Jump Processes
Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
We present a solution to the considered in [5] and [22] optimal stopping problem for some jump processes. The method of …. Introduction The main aim of this paper is to present a solution to the optimal stopping problem (2.3) for the maximum associated … a solution of the optimal stopping problem (2.3) for the defined in (2.1)-(2.2) jump process (X;S). We also remark that …
Persistent link: https://www.econbiz.de/10005784853
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Perpetual American options in a diffusion model with piecewise-linear coefficients
Gapeev, Pavel V.; Rodosthenous, Neofytos - In: Statistics & Risk Modeling 30 (2013) 1, pp. 1-21
Abstract We derive closed form solutions to the discounted optimal stopping problems related to the pricing of the perpetual American standard put and call options in an extension of the Black–Merton–Scholes model with piecewise-constant dividend and volatility rates. The method of proof is...
Persistent link: https://www.econbiz.de/10014622239
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Optimal stopping of strong Markov processes
Christensen, Sören; Salminen, Paavo; Ta, Bao Quoc - In: Stochastic Processes and their Applications 123 (2013) 3, pp. 1138-1159
We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings for Lévy processes obtained essentially via the...
Persistent link: https://www.econbiz.de/10011064929
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When to Quit Under Uncertainty? A real options approach to smoking cessation
Chen, Yu-Fu; Petrie, Dennis - Agricultural and Applied Economics Association - AAEA - 2012
This paper models the decision to quit smoking like an investment decision where the quitter incurs a sunk withdrawal cost today and forgoes their consumer surplus from cigarettes (invests) and hopes to reap an uncertain reward of better health and therefore higher utility in the future...
Persistent link: https://www.econbiz.de/10010878988
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When to Quit Under Uncertainty? A real options approach to smoking cessation
Chen, Yu-Fu; Petrie, Dennis - Agricultural and Applied Economics Association - AAEA - 2012
This paper models the decision to quit smoking like an investment decision where the quitter incurs a sunk withdrawal cost today and forgoes their consumer surplus from cigarettes (invests) and hopes to reap an uncertain reward of better health and therefore higher utility in the future...
Persistent link: https://www.econbiz.de/10010879001
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When to Quit Under Uncertainty? A real options approach to smoking cessation
Chen, Yu-Fu; Petrie, Dennis - Scottish Institute for Research in Economics (SIRE) - 2012
This paper models the decision to quit smoking like an investment decision where the quitter incurs a sunk withdrawal cost today and forgoes their consumer surplus from cigarettes (invests) and hopes to reap an uncertain reward of better health and therefore higher utility in the future...
Persistent link: https://www.econbiz.de/10011075662
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When to Quit Under Uncertainty? A real options approach to smoking cessation
Chen, Yu-Fu; Petrie, Dennis - Scottish Institute for Research in Economics (SIRE) - 2012
This paper models the decision to quit smoking like an investment decision where the quitter incurs a sunk withdrawal cost today and forgoes their consumer surplus from cigarettes (invests) and hopes to reap an uncertain reward of better health and therefore higher utility in the future...
Persistent link: https://www.econbiz.de/10011075680
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PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION
GAPEEV, PAVEL V. - In: International Journal of Theoretical and Applied … 15 (2012) 01, pp. 1250010-1
problem into a two-dimensional optimal stopping problem and the analysis of the associated parabolic-type free …
Persistent link: https://www.econbiz.de/10009651592
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Using Chebyshev Polynomials to Approximate Partial Differential Equations: A Reply
Mosiño, Alejandro - In: Computational Economics 39 (2012) 1, pp. 13-27
Persistent link: https://www.econbiz.de/10009401760
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Pricing of perpetual American options in a model with partial information
Gapeev, Pavel V. - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10009562132
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