Presentation	2008-03-28 Analysis of Optimal Entry/Exit Problems for Production based on Optimization of Evaluation Functions described by Variables including Jump Diffusion Processes ,
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Abstract(in English)	This paper deals with the nalysis of optimal entry/exit problems for production based on optimization of evaluation functions described by Variables including jump diffusion processes. Then, the optimization of evaluation function is reduced to the tasks to solve partial differential equations based on the stochastic dynamic programming. The optimal stopping scheme is obtained by evaluating time period where the value of production/investment becomes small.
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Keyword(in English)	Optimal stopping problems / Optimization of roduction / Jump diffusion processes / Stochastic dynamic programming
Paper #	NLP2007-172
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Conference Information
Committee	NLP
Conference Date	2008/3/21(1days)
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Paper Information
Registration To	Nonlinear Problems (NLP)
Language	JPN
Title (in Japanese)	(See Japanese page)
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Title (in English)	Analysis of Optimal Entry/Exit Problems for Production based on Optimization of Evaluation Functions described by Variables including Jump Diffusion Processes
Sub Title (in English)
Keyword(1)	Optimal stopping problems
Keyword(2)	Optimization of roduction
Keyword(3)	Jump diffusion processes
Keyword(4)	Stochastic dynamic programming
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1st Author's Affiliation	()
Date	2008-03-28
Paper #	NLP2007-172
Volume (vol)	vol.107
Number (no)	561
Page	pp.pp.-
#Pages	6
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