Optimal switching under a hybrid diffusion model and applications to stock trading

DOI10.1016/j.automatica.2018.04.048zbMath1401.93227OpenAlexW2805739077WikidataQ129760354 ScholiaQ129760354MaRDI QIDQ1797135

Qing Zhang, Siyu Lv, Zhen Wu

Publication date: 17 October 2018

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2018.04.048

zbMATH Keywords

variational inequalitiesviscosity solutionMarkov chainoptimal switchingstock trading rule

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Time-scale analysis and singular perturbations in control/observation systems (93C70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Portfolio theory (91G10) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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Hybrid optimal impulse control ⋮ Stochastic optimal switching model for migrating population dynamics ⋮ Nonzero-sum impulse games with regime switching

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