Explicit solutions for an optimal stock selling problem under a Markov chain model
DOI10.1016/J.JMAA.2014.06.049zbMATH Open1306.91134OpenAlexW2074895342MaRDI QIDQ401059FDOQ401059
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
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40)
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