{"id":"https://openalex.org/W2951672181","doi":"https://doi.org/10.3233/rda-140107","title":"Optimal starting\u2013stopping and switching of a CIR process with fixed costs","display_name":"Optimal starting\u2013stopping and switching of a CIR process with fixed costs","publication_year":2014,"publication_date":"2014-01-01","ids":{"openalex":"https://openalex.org/W2951672181","doi":"https://doi.org/10.3233/rda-140107","mag":"2951672181"},"language":"en","primary_location":{"id":"doi:10.3233/rda-140107","is_oa":false,"landing_page_url":"https://doi.org/10.3233/rda-140107","pdf_url":null,"source":{"id":"https://openalex.org/S2764680446","display_name":"Risk and Decision Analysis","issn_l":"1569-7371","issn":["1569-7371","1875-9173"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Risk and Decision Analysis","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1411.6080","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5044975638","display_name":"Tim Leung","orcid":"https://orcid.org/0000-0002-0023-6289"},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Tim Leung","raw_affiliation_strings":["IEOR Department, Columbia University, New York, NY, USA. E-mails: {tl2497, xl2206, zw2192}@columbia.edu"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"IEOR Department, Columbia University, New York, NY, USA. E-mails: {tl2497, xl2206, zw2192}@columbia.edu","institution_ids":["https://openalex.org/I78577930"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100354056","display_name":"Xin Li","orcid":"https://orcid.org/0000-0003-2999-9818"},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Xin Li","raw_affiliation_strings":["IEOR Department, Columbia University, New York, NY, USA. E-mails: {tl2497, xl2206, zw2192}@columbia.edu"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"IEOR Department, Columbia University, New York, NY, USA. E-mails: {tl2497, xl2206, zw2192}@columbia.edu","institution_ids":["https://openalex.org/I78577930"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5045214230","display_name":"Zheng Wang","orcid":"https://orcid.org/0000-0002-7726-0770"},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Zheng Wang","raw_affiliation_strings":["IEOR Department, Columbia University, New York, NY, USA. E-mails: {tl2497, xl2206, zw2192}@columbia.edu"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"IEOR Department, Columbia University, New York, NY, USA. E-mails: {tl2497, xl2206, zw2192}@columbia.edu","institution_ids":["https://openalex.org/I78577930"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.44309927,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"5","issue":"2-3","first_page":"149","last_page":"161"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.986299991607666,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10974","display_name":"Advanced Queuing Theory Analysis","score":0.9805999994277954,"subfield":{"id":"https://openalex.org/subfields/1404","display_name":"Management Information Systems"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/optimal-stopping","display_name":"Optimal stopping","score":0.8415795564651489},{"id":"https://openalex.org/keywords/sequence","display_name":"Sequence (biology)","score":0.6125212907791138},{"id":"https://openalex.org/keywords/fixed-cost","display_name":"Fixed cost","score":0.5573037266731262},{"id":"https://openalex.org/keywords/stopping-time","display_name":"Stopping time","score":0.5517225861549377},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.5405361652374268},{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.49565184116363525},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.49174001812934875},{"id":"https://openalex.org/keywords/process","display_name":"Process (computing)","score":0.48167407512664795},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.46308475732803345},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4292863607406616},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4291331171989441},{"id":"https://openalex.org/keywords/optional-stopping-theorem","display_name":"Optional stopping theorem","score":0.4289889633655548},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3447876572608948},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.19269564747810364},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1133812665939331},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.07960960268974304},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.07721984386444092}],"concepts":[{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.8415795564651489},{"id":"https://openalex.org/C2778112365","wikidata":"https://www.wikidata.org/wiki/Q3511065","display_name":"Sequence (biology)","level":2,"score":0.6125212907791138},{"id":"https://openalex.org/C42866809","wikidata":"https://www.wikidata.org/wiki/Q466764","display_name":"Fixed cost","level":2,"score":0.5573037266731262},{"id":"https://openalex.org/C99888217","wikidata":"https://www.wikidata.org/wiki/Q1288707","display_name":"Stopping time","level":2,"score":0.5517225861549377},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.5405361652374268},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.49565184116363525},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.49174001812934875},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.48167407512664795},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.46308475732803345},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4292863607406616},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4291331171989441},{"id":"https://openalex.org/C52832964","wikidata":"https://www.wikidata.org/wiki/Q2027347","display_name":"Optional stopping theorem","level":3,"score":0.4289889633655548},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3447876572608948},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.19269564747810364},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1133812665939331},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.07960960268974304},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.07721984386444092},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C54355233","wikidata":"https://www.wikidata.org/wiki/Q7162","display_name":"Genetics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.3233/rda-140107","is_oa":false,"landing_page_url":"https://doi.org/10.3233/rda-140107","pdf_url":null,"source":{"id":"https://openalex.org/S2764680446","display_name":"Risk and Decision Analysis","issn_l":"1569-7371","issn":["1569-7371","1875-9173"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Risk and Decision Analysis","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1411.6080","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1411.6080","pdf_url":"https://arxiv.org/pdf/1411.6080","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"mag:2951672181","is_oa":true,"landing_page_url":"https://arxiv.org/pdf/1411.6080.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.763.2557","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.763.2557","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://arxiv.org/pdf/1411.6080.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:arx:papers:1411.6080","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"doi:10.48550/arxiv.1411.6080","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1411.6080","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1411.6080","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1411.6080","pdf_url":"https://arxiv.org/pdf/1411.6080","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/6","score":0.4699999988079071,"display_name":"Clean water and sanitation"}],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2951672181.pdf","grobid_xml":"https://content.openalex.org/works/W2951672181.grobid-xml"},"referenced_works_count":18,"referenced_works":["https://openalex.org/W1522957774","https://openalex.org/W1532331202","https://openalex.org/W1995503011","https://openalex.org/W2042775870","https://openalex.org/W2057864604","https://openalex.org/W2064978316","https://openalex.org/W2130165699","https://openalex.org/W2136046711","https://openalex.org/W2141023873","https://openalex.org/W2170316986","https://openalex.org/W2330357560","https://openalex.org/W2600669231","https://openalex.org/W2801179766","https://openalex.org/W3021444882","https://openalex.org/W3121541925","https://openalex.org/W3122204684","https://openalex.org/W3124933344","https://openalex.org/W3217574054"],"related_works":["https://openalex.org/W3121306779","https://openalex.org/W1989184280","https://openalex.org/W2136046711","https://openalex.org/W2769309772","https://openalex.org/W1862793549","https://openalex.org/W2595182025","https://openalex.org/W2060224423","https://openalex.org/W1533784187","https://openalex.org/W2028709070","https://openalex.org/W2761095230","https://openalex.org/W2941060231","https://openalex.org/W1607783334","https://openalex.org/W1997826741","https://openalex.org/W1488326122","https://openalex.org/W2084700131","https://openalex.org/W2079795320","https://openalex.org/W2280038150","https://openalex.org/W2082464994","https://openalex.org/W1971416245","https://openalex.org/W2952595891"],"abstract_inverted_index":{"This":[0],"paper":[1],"analyzes":[2],"the":[3,37],"problem":[4,25],"of":[5,31],"starting":[6],"and":[7,33],"stopping":[8],"a":[9,21],"Cox\u2013Ingersoll\u2013Ross":[10],"(CIR)":[11],"process":[12],"with":[13],"fixed":[14],"costs.":[15],"In":[16],"addition,":[17],"we":[18],"also":[19],"study":[20],"related":[22],"optimal":[23],"switching":[24],"that":[26],"involves":[27],"an":[28],"infinite":[29],"sequence":[30],"starts":[32],"stops.":[34],"We":[35],"establish":[36],"cond":[38]},"counts_by_year":[],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}