不确定环境下的进入-退出决策

¡¡¡¡Entry-exitdecisionsapplytonumerouspracticalproblems.Forexample£¬whentoextractoilandwhentostoptheextraction£¬whentoissueanewpolicyandwhentoendit£¬andwhentoletakindofproductenteramarketandwhentolettheproductexitthemarket£¬etc.Therefore£¬entry-exitdecisionproblemsattractalotofresearchers.¡¡¡¡Therearethreeapproachestostudyentry-exitdecisions£¬namely£¬realoption£¬pureprobabilityandoptimalstopping.Inthismonograph£¬weappealtooptimalstoppingtodealwithentry-exitdecisions.Themainreasonsareasfollows.Ontheonehand£¬intherealoptionframework£¬theregularityofpayofffunctionsisaprioriassumed£¬whiletheoptimalstoppingapproachintendstoproveit.Ontheotherhand£¬althoughthepureprobabilityandoptimalstoppingapproachesarebothtosolveaoptimalstoppingproblem£¬wehavetocalculatedensityfunctionsofsomestoppingtimesifapplyingthepureprobabilityapproach£¬whichisnoteasy£¬whereastheoptimalstoppingoneavoidssuchcalculations.¡¡¡¡Weaimtoobtainclosed-formsolutionsofoptimalentry-exitdecisionsforthecases£ºcostsdependingonunderlyingprocesses£¬implementationwithdelay£¬andunderlyingprocessesfollowinggeometricLevyprocesses.Inaddition£¬weprovideacompletetheoryforoptimalstoppingproblemswithregimeswitching£¬anduseittosolveanexitproblem.