Some results on optimal stopping under phase-type distributed implementation delay

Jukka Lempa ()
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Jukka Lempa: University of Turku

Mathematical Methods of Operations Research, 2020, vol. 91, issue 3, No 7, 559-583

Abstract: Abstract We study optimal stopping of strong Markov processes under random implementation delay. By random implementation delay we mean the following: the payoff is not realised immediately when the process is stopped but rather after a random waiting period. The distribution of the random waiting period is assumed to be phase-type. We prove first a general result on the solvability of the problem. Then we study the case of Coxian distribution both in general and with scalar diffusion dynamics in more detail. The study is concluded with two explicit examples.

Keywords: Implementation delay; Time to build; Optimal stopping; Strong Markov process; Phase-type distributions; Markov chain; Diffusion; Resolvent operator (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00186-019-00694-6

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