Irreversible Decisions under Uncertainty: Optimal Stopping Made Easy

Front Cover
Springer Science & Business Media, Aug 26, 2007 - Business & Economics - 285 pages
0 Reviews

In real life, as well as in economic models, individuals often make decisions in an uncertain environment. In many cases, a problem which an optimizing agent faces can be formulated or reformulated as a problem of optimal timing of a certain irreversible or partially reversible action or optimal stopping problem. In this book, the authors present an alternative approach to optimal stopping problems. The basic ideas and techniques of the approach can be explained much simpler than the standard methods in the literature on optimal stopping problems. The monograph will teach the reader to apply the technique to many problems in economics and finance, including new ones. From the technical point of view, the method can be characterized as option pricing via the Wiener-Hopf factorization.


What people are saying - Write a review

We haven't found any reviews in the usual places.

Selected pages

Other editions - View all

Common terms and phrases

Popular passages

Page vii - CLEOPATRA. Good: you shall teach me. How long will it take? MUSICIAN. Not very long: only four years. Your Majesty must first become proficient in the philosophy of Pythagoras. MUSICIAN. Oh, she is but a slave. She learns as a dog learns.
Page vii - MUSICIAN. Oh, she is but a slave. She learns as a dog learns. CLEOPATRA. Well, then, I will learn as a dog learns; for she plays better than you. You shall give me a lesson every day for a fortnight. [The musician hastily scrambles to his feet and bows profoundly}. After that, whenever I strike...

Bibliographic information