Henderson, Vicky; Hobson, David - In: Stochastic Processes and their Applications 117 (2007) 11, pp. 1621-1641
In this paper we consider a class of mixed optimal control/optimal stopping problems related to the choice of the best time to sell a single unit of an indivisible asset. We assume that in addition to the indivisible asset, the agent has access to a financial market. Investments in the financial...