The Effects of Implementation Delay on Decision-Making Under Uncertainty

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dc.creatorBayraktar, Erhan
dc.creatorEgami, Masahiko
dc.date2007-03-28
dc.date.accessioned2026-07-07T12:11:24Z
dc.date.available2026-07-07T12:11:24Z
dc.descriptionIn this paper, we accomplish two objectives: First, we provide a new mathematical characterization of the value function for impulse control problems with implementation delay and present a direct solution method that differs from its counterparts that use quasi-variational inequalities. Our method is direct, in the sense that we do not have to guess the form of the solution and we do not have to prove that the conjectured solution satisfies conditions of a verification lemma. Second, by employing this direct solution method, we solve two examples that involve decision delays: an exchange rate intervention problem and a problem of labor force optimization.
dc.identifierhttps://arxiv.org/abs/math/0703833
dc.identifierhttp://arxiv.org/abs/math/0703833
dc.identifierStochastic Processes and Their Applications, 2007, Volume 117 (3), 333-358
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210207
dc.subjectOptimization and Control
dc.subjectProbability
dc.subjectTrading and Market Microstructure
dc.subject93E20; 60J60
dc.titleThe Effects of Implementation Delay on Decision-Making Under Uncertainty
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