Optimal switching under a hybrid diffusion model and applications to stock trading (Q1797135)

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

    Statements

    title
    Optimal switching under a hybrid diffusion model and applications to stock trading (English)
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    author
    Siyu Lv
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    Zhen Wu
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    Qing Zhang
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    published in
    Automatica
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    publication date
    17 October 2018
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    zbMATH Keywords
    optimal switching
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    Markov chain
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    variational inequalities
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    viscosity solution
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    stock trading rule
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    cites work
    Q4032143
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    Q2772020
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    Q4255599
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    Identifiers

    Mathematics Subject Classification ID
    93E20
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    49L20
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    60J10
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    93C70
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    93C30
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    91G10
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    49L25
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    60J28
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    zbMATH DE Number
    6957847
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    OpenAlex ID
    W2805739077
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    Wikidata QID
    Q129760354
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