Optimal switching under a hybrid diffusion model and applications to stock trading
DOI10.1016/j.automatica.2018.04.048zbMath1401.93227OpenAlexW2805739077WikidataQ129760354 ScholiaQ129760354MaRDI QIDQ1797135
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
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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