Optimal switching strategy of a mean-reverting asset over multiple regimes (Q259389)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Optimal switching strategy of a mean-reverting asset over multiple regimes |
scientific article; zbMATH DE number 6554361
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal switching strategy of a mean-reverting asset over multiple regimes |
scientific article; zbMATH DE number 6554361 |
Statements
Optimal switching strategy of a mean-reverting asset over multiple regimes (English)
0 references
11 March 2016
0 references
optimal multiple switching problem
0 references
Hamilton-Jacobi-Bellman (HJB) variational inequality
0 references
switching regions
0 references
viscosity solutions
0 references
Ornstein-Uhlenbeck process
0 references
Hermite function
0 references
pairs trading strategy
0 references
0.8349560499191284
0 references
0.8342171907424927
0 references
0.8329288959503174
0 references
0.8294408321380615
0 references
0.8210958242416382
0 references
