An optimal mean-reversion trading rule under a Markov chain model (Q326803)

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An optimal mean-reversion trading rule under a Markov chain model
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    title
    An optimal mean-reversion trading rule under a Markov chain model (English)
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    DOI
    10.3934/mcrf.2016012
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    author
    Jingzhi Tie
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    Qing Zhang
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    publication date
    12 October 2016
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    Mathematics Subject Classification ID
    93E20
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    91G80
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    49J40
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    60J10
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    zbMATH DE Number
    6637802
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    zbMATH Keywords
    mean-reversion Markovian asset
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    optimal stopping
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    variational inequalities
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