An optimal trading rule under a switchable mean-reversion model

DOI10.1007/s10957-012-0260-xzbMath1296.91256MaRDI QIDQ2247920

Yanyan Li

Publication date: 30 June 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0260-x

zbMATH Keywords

optimal stopping; quasi-variational inequalities; mean-reverting process

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G40: Stopping times; optimal stopping problems; gambling theory

60J27: Continuous-time Markov processes on discrete state spaces

91G10: Portfolio theory

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Cites Work

• Trading a mean-reverting asset: buy low and sell high
• A MODEL FOR THE LONG-TERM OPTIMAL CAPACITY LEVEL OF AN INVESTMENT PROJECT
• Trend Following Trading under a Regime Switching Model
• A Model for Reversible Investment Capacity Expansion
• Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model
• On a semi-spectral method for pricing an option on a mean-reverting asset
• Optimal selling rules in a regime switching model
• Stochastic differential equations. An introduction with applications.