Switching between a pair of stocks: an optimal trading rule

DOI10.3934/MCRF.2018042zbMath1417.91482OpenAlexW2897597750WikidataQ129108713 ScholiaQ129108713MaRDI QIDQ2001567

Jingzhi Tie, Qing Zhang

Publication date: 3 July 2019

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2018042

zbMATH Keywords

quasi-variational inequalitiesgeometric Brownian motions with regime switchingswitching trading

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

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