Transversality Conditions for Some Infinite Horizon Discrete Time Optimization Problems

1986 ◽  
Vol 11 (2) ◽  
pp. 216-229 ◽  
Author(s):  
Ivar Ekeland ◽  
José Alexandre Scheinkman
Keyword(s):  
Discrete Time ◽  
Optimization Problems ◽  
Infinite Horizon ◽  
Transversality Conditions ◽  
Time Optimization

Efficiency in one-sector, discrete-time, infinite-horizon models

1984 ◽  
Vol 33 (1) ◽  
pp. 183-196 ◽  
Author(s):  
Anders Borglin ◽  
Hans Keiding
Keyword(s):  
Discrete Time ◽  
Infinite Horizon

scholarly journals Transversality Conditions in Infinite Horizon Models

1981 ◽  
Vol 1981 (172) ◽  
pp. 1-32 ◽  
Author(s):  
Jo Anna Gray ◽  
◽  
Stephen W. Salant
Keyword(s):  
Infinite Horizon ◽  
Transversality Conditions

scholarly journals Optimal Stopping for Processes with Independent Increments, and Applications

2009 ◽  
Vol 46 (04) ◽  
pp. 1130-1145 ◽  
Author(s):  
G. Deligiannidis ◽  
H. Le ◽  
S. Utev
Keyword(s):  
Optimal Stopping ◽  
Optimization Problems ◽  
Infinite Horizon ◽  
Unified Approach ◽  
Reward Function ◽  
Finance Industry ◽  
Independent Increments ◽  
Reward Functions ◽  
First Time ◽  
The Value Function

In this paper we present an explicit solution to the infinite-horizon optimal stopping problem for processes with stationary independent increments, where reward functions admit a certain representation in terms of the process at a random time. It is shown that it is optimal to stop at the first time the process crosses a level defined as the root of an equation obtained from the representation of the reward function. We obtain an explicit formula for the value function in terms of the infimum and supremum of the process, by making use of the Wiener–Hopf factorization. The main results are applied to several problems considered in the literature, to give a unified approach, and to new optimization problems from the finance industry.

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