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An Algorithm for Construction of Optimal Timing Solutions in Problems with a Stochastic Payoff Function by Andrey A. Krasovskii; Alexander M. Tarasyev is a Mathematics article available to read on EtoBox.

What is An Algorithm for Construction of Optimal Timing Solutions in Problems with a Stochastic Payoff Function about?

A dynamic model of optimal timing is applied to the problem of optimization of an innovation process in a competitive market environment. The basic element of the model is a block for optimization of the stopping time of the investment process. The problem of optimal timing is solved in parallel with adjoint problems of assessment of the market potential innovation and optimal control synthesis of the investment process. For construction of the optimal control synthesis the basic elements of models of optimal economic growth are used. In the econometric block, a probabilistic model is applied for design of market trajectories described by distribution functions. These distribution functions determine a market share of commercialized projects and probability of presence of competitors on the market at the current moment of time. Stochastic models for specification of the price formation mechanism are constructed for a series of distribution functions. An algorithm for construction of the optimal commercialization time and optimal investment plan is proposed. The algorithm is based on qualitative analysis of extremal points of the utility function which correspond to intersection poi

Who reads An Algorithm for Construction of Optimal Timing Solutions in Problems with a Stochastic Payoff Function?

Author

Andrey A. Krasovskii; Alexander M. Tarasyev

Publisher

Elsevier Science; Elsevier ; Elsevier BV (ISSN 0096-3003)

Published

2008

Language

EN

Field

Mathematics (Physical Sciences)