Optimal selling rule in a regime switching Lévy market
DOI10.1155/2011/264603zbMATH Open1220.91036DBLPjournals/ijmmsc/Pemy11OpenAlexW2073572288WikidataQ58687701 ScholiaQ58687701MaRDI QIDQ638071FDOQ638071
Publication date: 9 September 2011
Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2011/264603
Portfolio theory (91G10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)
Cites Work
- Controlled Markov processes and viscosity solutions
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- User’s guide to viscosity solutions of second order partial differential equations
- Optimal stock liquidation in a regime switching model with finite time horizon
- Stock trading: an optimal selling rule
- Optimal selling rules in a regime switching model
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- Title not available (Why is that?)
Cited In (6)
- Optimal oil production and taxation under mean reverting jump diffusion models
- Optimal selling strategies under regime-switching market environment with finite expiry
- OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK
- A Near-Optimal Selling Rule for a Two-Time-Scale Market Model
- Risk management for crude oil futures: an optimal stopping-timing approach
- The right time to sell a stock whose price is driven by Markovian noise
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