An optimal mean-reversion trading rule under a Markov chain model

DOI10.3934/mcrf.2016012zbMath1345.93168MaRDI QIDQ326803

Jingzhi Tie, Qing Zhang

Publication date: 12 October 2016

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2016012

zbMATH Keywords

variational inequalities; optimal stopping; mean-reversion Markovian asset

Mathematics Subject Classification ID

49J40: Variational inequalities

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

93E20: Optimal stochastic control

91G80: Financial applications of other theories

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