Optimal selling rule in a regime switching Lévy market

DOI10.1155/2011/264603MaRDI QIDQ638071zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Moustapha Pemy

Publication date 9 September 2011

Published in International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2011/264603

Mathematics Subject Classification ID

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)

Recommendations

• Optimal stock liquidation in a regime switching model with finite time horizon
• Optimal stopping of Markov switching Lévy processes
• Optimal selling strategies under regime-switching market environment with finite expiry
• Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model
• Optimal liquidation of a large block of stock with regime switching

Cites work

• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• scientific article; zbMATH DE number 1113626 (Why is no real title available?)
• scientific article; zbMATH DE number 1147065 (Why is no real title available?)
• Controlled Markov processes and viscosity solutions
• Optimal selling rules in a regime switching model
• Optimal stock liquidation in a regime switching model with finite time horizon
• Stock trading: an optimal selling rule
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(11)

• Optimal oil production and taxation under mean reverting jump diffusion models
• Optimal selling strategies under regime-switching market environment with finite expiry
• Optimal stopping of Markov switching Lévy processes
• 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
• Explicit solutions for an optimal stock selling problem under a Markov chain model
• Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model
• A recursive algorithm for selling at the ultimate maximum in regime-switching models
• Selling at the ultimate maximum in a regime-switching model
• The right time to sell a stock whose price is driven by Markovian noise

This page was built for publication: Optimal selling rule in a regime switching Lévy market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q638071)