Generalization of affine feedback stock trading results to include stop-loss orders

DOI10.1016/j.automatica.2021.110051zbMath1480.91279arXiv2004.12848OpenAlexW3216531043MaRDI QIDQ2063816

Chung-Han Hsieh

Publication date: 3 January 2022

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.12848

zbMATH Keywords

stopping timegeometric Brownian motionaffine feedbackstock tradingstochastic financial systems

Mathematics Subject Classification ID

Feedback control (93B52) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15)

Cites Work

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