Explicit solutions for an optimal stock selling problem under a Markov chain model

DOI10.1016/j.jmaa.2014.06.049zbMath1306.91134OpenAlexW2074895342MaRDI QIDQ401059

Qing Zhang

Publication date: 26 August 2014

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.2014.06.049

zbMATH Keywords

variational inequalitiesoptimal stoppingMarkov chain asset

Mathematics Subject Classification ID

Variational inequalities (49J40) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

Related Items (2)

An optimal mean-reversion trading rule under a Markov chain model ⋮ Stability analysis for stochastic differential equations with infinite Markovian switchings

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Continuous-time Markov chains and applications. A two-time-scale approach
• An explicit solution for an optimal stopping/optimal control problem which models an asset sale
• Selling a stock at the ultimate maximum
• Trading a mean-reverting asset: buy low and sell high
• Stock Trading: An Optimal Selling Rule
• Long-Term Optimal Investment Strategies in the Presence of Adjustment Costs
• A Model for Reversible Investment Capacity Expansion
• The Markov Chain Market
• Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
• Optimal selling rules in a regime switching model
• American option prices in a Markov chain market model
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Explicit solutions for an optimal stock selling problem under a Markov chain model