Optimal starting–stopping and switching of a CIR process with fixed costs
From MaRDI portal
Publication:3119637
DOI10.3233/RDA-140107zbMath1409.91254arXiv1411.6080MaRDI QIDQ3119637
Publication date: 12 March 2019
Published in: Risk and Decision Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.6080
60G40: Stopping times; optimal stopping problems; gambling theory
91G30: Interest rates, asset pricing, etc. (stochastic models)
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