Skip to main content
SpringerLink
Log in
SpringerLink
Log in

Comparative Statics for Multidimensional Optimal Stopping Problems

  • Conference paper
Models of Economic Dynamics

Part of the book series: Lecture Notes in Economics and Mathematical Systems ((LNE,volume 264))

Abstract

The problem of choosing a stopping time t to maximize E[X(t)e-rt] where X(t) is a real valued stochastic process is analyzed in [1]. Motivation for this problem comes from economics. Briefly, X(t) is the intrinsic value of an asset.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Brock, William A., Michael Rothschild and Joseph E. Stiglitz: “Stochastic Capital Theory”, Social Systems Research Institute Paper No. 8303.

    Google Scholar 

  2. Chow, Y.S., H. Robbins and D. Siegmund: Great Expectations: The Theory of Optimal Stopping (Boston: Houghton Mifflin, 1971).

    Google Scholar 

  3. Krylov, N.V., Controlled Diffusion Processes (New York: Springer-Verlag, 1980).

    Google Scholar 

  4. Miroshnichenko, T.P., “Optimal Stopping of the Integral of a Wiener Process”. Theory of Probability and its Applications (1975), 20: 387–391.

    Article  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Department of Economics, University of Wisconsin, Madison, Madison, Wisconsin, 53706, USA

    W. A. Brock

  2. Department of Economics, University of California, San Diego, La Jolla, California, 92093, USA

    M. Rothschild

Authors
  1. W. A. Brock
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. M. Rothschild
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Editors and Affiliations

  1. Department of Economics, Princeton University, Princeton, NJ, 08544, USA

    Hugo F. Sonnenschein

Rights and permissions

Reprints and permissions

Copyright information

© 1986 Springer-Verlag Berlin Heidelberg

About this paper

Cite this paper

Brock, W.A., Rothschild, M. (1986). Comparative Statics for Multidimensional Optimal Stopping Problems. In: Sonnenschein, H.F. (eds) Models of Economic Dynamics. Lecture Notes in Economics and Mathematical Systems, vol 264. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-51645-0_9

Download citation

  • DOI: https://doi.org/10.1007/978-3-642-51645-0_9

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-16098-4

  • Online ISBN: 978-3-642-51645-0

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics

Search

Navigation