Optimal switching strategy of a mean-reverting asset over multiple regimes
From MaRDI portal
Publication:259389
DOI10.1016/j.automatica.2015.12.023zbMath1335.49021OpenAlexW2290731940MaRDI QIDQ259389
Publication date: 11 March 2016
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2015.12.023
Ornstein-Uhlenbeck processviscosity solutionsHermite functionHamilton-Jacobi-Bellman (HJB) variational inequalityoptimal multiple switching problempairs trading strategyswitching regions
Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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