Optimal switching strategy of a mean-reverting asset over multiple regimes (Q259389)
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scientific article; zbMATH DE number 6554361
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal switching strategy of a mean-reverting asset over multiple regimes |
scientific article; zbMATH DE number 6554361 |
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Optimal switching strategy of a mean-reverting asset over multiple regimes (English)
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11 March 2016
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optimal multiple switching problem
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Hamilton-Jacobi-Bellman (HJB) variational inequality
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switching regions
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viscosity solutions
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Ornstein-Uhlenbeck process
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Hermite function
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pairs trading strategy
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