This paper studies a class of optimal stopping problems that has become popular in the area of investment under uncertainty (``real options''). Necessary conditions for solutions to these problems are that the solution dominates the payoff function and is superharmonic. Neither property is...

In this paper we propose a solution to the Bayesian problem of a decision maker who chooses, while observing trial evidence, an optimal stopping time at which either to invest in a newly developed health care technology or abandon research. We show how optimal stopping boundaries can be computed...

Within the context of the value of information approach we compare static versus quickest detection rules for research design in health care technology assessment (HTA). We show for a research design that the optimal decision rule cannot be correctly predicted at the start of the trial. We make...

This paper presents a model of investment in projects that are characterized by (i) uncertainty over both the construction costs and revenues, and (ii) revenues that accrue only after construction is completed. Both processes are modeled as spectrally negative Levy jump-diffusions. The optimal...