An optimal trading rule under a switchable mean-reversion model
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Publication:2247920
DOI10.1007/s10957-012-0260-xzbMath1296.91256MaRDI QIDQ2247920
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
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
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- 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.