An optimal mean-reversion trading rule under a Markov chain model (Q326803): Difference between revisions

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Property / Mathematics Subject Classification ID: 93E20 / rank
 
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Property / Mathematics Subject Classification ID: 91G80 / rank
 
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Property / Mathematics Subject Classification ID: 49J40 / rank
 
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Property / Mathematics Subject Classification ID: 60J10 / rank
 
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Property / zbMATH DE Number: 6637802 / rank
 
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mean-reversion Markovian asset
Property / zbMATH Keywords: mean-reversion Markovian asset / rank
 
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Property / zbMATH Keywords
 
optimal stopping
Property / zbMATH Keywords: optimal stopping / rank
 
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variational inequalities
Property / zbMATH Keywords: variational inequalities / rank
 
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Property / full work available at URL: https://doi.org/10.3934/mcrf.2016012 / rank
 
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Latest revision as of 16:58, 12 July 2024

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An optimal mean-reversion trading rule under a Markov chain model
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    An optimal mean-reversion trading rule under a Markov chain model (English)
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    12 October 2016
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    mean-reversion Markovian asset
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    optimal stopping
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    variational inequalities
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