We study a problem of finding an optimal stop** strategy to liquidate an asset with
unknown drift. Taking a Bayesian approach, we model the initial beliefs of an individual …

This research is devoted to studying a geometric Brownian motion with drift switching driven
by a 2× 2 Markov chain. A discrete-time multiplicative approximation scheme was …

When an investor is faced with the option to purchase additional information regarding an
asset price, how much should she pay? To address this question, we solve for the …

We study the optimal dividend problem for a firm's manager who has partial information on
the profitability of the firm. The problem is formulated as one of singular stochastic control …

A new mathematical model for finding the optimal harvesting policy of an inland fishery
resource under incomplete information is proposed in this paper. The model is based on a …

We study a two-dimensional discounted optimal stop** problem related to the pricing of
perpetual commodity equities in a model of financial markets in which the behaviour of the …

Timing the selling of crude oil futures to control risk is a worth studying question given the
swift fall of their prices. This paper proposes an optimal stop** model to find the optimal …

There is an extensive academic literature that documents that stocks which have performed
well in the past often continue to perform well over some holding period-so-called …

This paper studies a two-player zero-sum Dynkin game arising from pricing an option on an
asset whose rate of return is unknown to both players. Using filtering techniques, we first …

Investors cannot anticipate a return reversal in the stock market. Therefore, choosing the
optimal time to buy and hold a stock is vital. This paper formulates a disorder problem using …