Constrained optimality for controlled switching diffusions with an application to stock purchasing

DOI10.1080/14697688.2019.1614210MaRDI QIDQ5120736zbMATH OpenOpenAlexWikidataFDO

Authors Xianggang Lu

Publication date 16 September 2020

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2019.1614210

zbMATH Keywords

constrained optimalityswitching diffusionsviscosity solutions

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Dynamic programming (90C39) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cited in

(3)

• Optimal switching under a hybrid diffusion model and applications to stock trading
• Optimal switching with constraints and utility maximization of an indivisible market
• A constrained stochastic control problem with application to an illiquid stock position build-up

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