Optimal selling rules in a regime switching model

DOI10.1109/TAC.2005.854657MaRDI QIDQ5274167zbMATH OpenFDO

Authors Xin Guo, Q. Zhang

Publication date 12 July 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.2005.854657

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Search theory (90B40)

Cited in

(33)

• An optimal strategy for pairs trading under geometric Brownian motions
• Portfolio strategy of financial market with regime switching driven by geometric Lévy process
• An optimal trading rule under a switchable mean-reversion model
• Markets with random lifetimes and private values: mean reversion and option to trade
• Pairs trading: an optimal selling rule
• Trading a mean-reverting asset: buy low and sell high
• Optimal stock liquidation in a regime switching model with finite time horizon
• Optimal switching strategy of a mean-reverting asset over multiple regimes
• Optimal stopping of switching diffusions with state dependent switching rates
• Buy-low and sell-high investment strategies
• Optimal stopping of Markov switching Lévy processes
• Selling at the ultimate maximum in a regime-switching model
• Liquidation of a large block of stock with regime switching
• A stochastic approximation algorithm for option pricing model calibration with a switchable market
• On the stabilization of switched linear stochastic systems with unobservable switching laws
• An optimal mean-reversion trading rule under a Markov chain model
• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
• Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies
• Explicit solutions for an optimal stock selling problem under a Markov chain model
• Analytic value function for optimal regime-switching pairs trading rules
• A trend-following strategy: conditions for optimality
• Pricing of perpetual American options in a model with partial information
• Stock loan valuation under a regime-switching model with mean-reverting and finite maturity
• Optimal selling rule in a regime switching Lévy market
• Optimal decision for selling an illiquid stock
• Solving a class of zero-sum stopping game with regime switching
• Pairs trading under a mean reversion model with regime switching
• Robust optimal stopping with regime switching
• A mean reversion selling rule with constraints
• A zero-sum hybrid stochastic differential game with switching controls
• Detecting turning points in high-frequency financial data analysis
• Option pricing in a regime-switching model using the fast Fourier transform
• A convex optimization approach to filtering in jump linear systems with state dependent transitions

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