A sequential entry problem with forced exits

• 成果类型: Article
• 署名作者: Wang, H
• 署名单位: Brown University
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1040.0141
• 发表日期: 2005
• 页码: 501-520
• 关键词: model; investments; decisions

摘要

We consider a continuous time optimal stopping problem with multiple entries and forced exits. The value for such an optimization problem with a general payoff function is solved in closed form under the assumption that the state process is a geometric Brownian motion and the forced exits come in according to a Poisson process. The effect due to the forced exits is analyzed. It is shown that the presence of the forced exits is a true risk (meaning that it will reduce the value and enlarge the continuation region) if and only if the entry cost is large enough compared to the running cost.