LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING

DOI10.1111/j.1467-9965.2008.00351.xzbMath1214.91106OpenAlexW2167875773MaRDI QIDQ3005847

Moustapha Pemy, G. George Yin, Qing Zhang

Publication date: 9 June 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00351.x

zbMATH Keywords

optimal controlregime-switching modelstate constraintselling rule

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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