Optimal stock liquidation in a regime switching model with finite time horizon
From MaRDI portal
Publication:2496679
DOI10.1016/j.jmaa.2005.08.034zbMath1160.91359MaRDI QIDQ2496679
Publication date: 20 July 2006
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2005.08.034
93E20: Optimal stochastic control
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
91G10: Portfolio theory
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Cites Work
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- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Lectures on the Mathematics of Finance
- Optimal selling rules in a regime switching model
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