The right time to sell a stock whose price is driven by Markovian noise

DOI10.1214/105051604000000747zbMath1070.60037arXivmath/0503580OpenAlexW3100208880MaRDI QIDQ1769428

Robert C. Dalang, Max-Olivier Hongler

Publication date: 21 March 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503580

zbMATH Keywords

optimal stoppingprinciple of smooth fitpiecewise deterministic Markov processtelegrapher's noise

Mathematics Subject Classification ID

Related Items (8)

An optimal stopping problem for spectrally negative Markov additive processes ⋮ Discounted optimal stopping problems in continuous hidden Markov models ⋮ ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY ⋮ The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting ⋮ Entrance laws at the origin of self-similar Markov processes in high dimensions ⋮ On infinite horizon optimal stopping of general random walk ⋮ Optimal stopping games in models with various information flows ⋮ Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs

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