Irreversible Decisions under Uncertainty: Optimal Stopping Made Easy
A new monograph by: Svetlana Boyarchenko and Sergey Levendorskii
Posted: September 17, 2007
Associate Professor Svetlana Boyarchenko and Senior Lecturer Sergei Levendorskii have written a monograph entitled "Irreversible Decisions under Uncertainty, Optimal Stopping Made Easy."
Springer series "Studies in Economic Theory"
The series Studies in Economic Theory is a forum for new ideas concerning recent developments and unsolved problems in economics. For instance, publications in the series will include topics such as classical and modern equilibrium theory, cooperative and non-cooperative game theory, macroeconomics, social choice, and welfare, intertemporal economics (including dynamical systems), public economics, international and developmental economics, financial economics, and industrial organization. The series will not, however, be limited to these areas: Monographs from other disciplines that are of interest to economists or have direct application to economics will also be considered for publication.
Irreversible Decisions under Uncertainty
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 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.