Geodesic
Optimization of the stopping time in multilevel dynamic systems
Vestnik Udmurtskogo universiteta. Matematika, mehanika, kompʹûternye nauki, no. 2 (2008), pp. 63-64

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A dynamic model of investment process in a market environment is designed. The model is focused on three decision making problems: identification of the market time trends; optimization of the commercialization time; optimal control design of the investment policy. A stochastic model based on probabilistic distributions for description of the price formation mechanism is realized for identification of the market trajectories. It is proved that extremum of the profit function coincide with points of intersection of the distribution function and the marginal costs. The model is calibrated based on the econometric data analysis. 
@article{VUU_2008_2_a22,
     author = {A. A. Krasovskii and A. M. Tarasyev},
     title = {Optimization of the stopping time in multilevel dynamic systems},
     journal = {Vestnik Udmurtskogo universiteta. Matematika, mehanika, kompʹ\^uternye nauki},
     pages = {63--64},
     publisher = {mathdoc},
     number = {2},
     year = {2008},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VUU_2008_2_a22/}
}
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A. A. Krasovskii; A. M. Tarasyev. Optimization of the stopping time in multilevel dynamic systems. Vestnik Udmurtskogo universiteta. Matematika, mehanika, kompʹûternye nauki, no. 2 (2008), pp. 63-64. http://geodesic.mathdoc.fr/item/VUU_2008_2_a22/