Optimal stopping for factorable process in application to financial problems

MaRDI QIDQ2739839zbMATH OpenFDO

Authors Ya. A. Oltsik, Yuliya S. Mishura

Publication date 16 September 2001

Published in Prykladna Statystyka. Aktuarna ta Finansova Matematyka (Search for Journal in Brave)

zbMATH Keywords

expected gainoptimal switching strategyredistribution of investmentsstochastic market

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Review text

An investor can create a portfolio from one bond and one stock at the initial time and then he can no more than one time redistribute his wealth and create a new portfolio paying some price for the switching. The problem is to find the optimal switching strategy (with respect to the expected gain). This problem is solved for stocks described by usual diffusion equation with regular (predictable, bounded, etc.) coefficients.

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