A renewal theory approach to two-state switching problems with infinite values

DOI10.1017/JPR.2019.74MaRDI QIDQ5109486zbMATH OpenOpenAlexFDO

Authors Erik Ekström, Marcus Olofsson, Martin Vannestål

Publication date 12 May 2020

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/jpr.2019.74

zbMATH Keywords

expected growth rateoptimal switchingrenewal theorytrend following

Mathematics Subject Classification ID

Renewal theory (60K05) Optimal stopping in statistics (62L15) Dynamic programming (90C39) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• A class of singular stochastic control problems
• A model for investment decisions with switching costs.
• Applied Probability and Queues
• Dynamic optimization of long-term growth rate for a portfolio with transaction costs and logarithmic utility.
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• On the One-Dimensional Optimal Switching Problem
• Optimal stationary linear control of the Wiener process
• Optimal Switching in an Economic Activity under Uncertainty
• Optimal trend following trading rules
• Pairs trading: optimal thresholds and profitability
• Portfolio choice and the Bayesian Kelly criterion
• Trend following trading under a regime switching model

Cited in

(1)

• Optimal times to buy and sell a home

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