Asset liquidation under drift uncertainty and regime-switching volatility

DOI10.1007/s00245-018-9518-5zbMath1443.91269arXiv1701.08579OpenAlexW3100150037WikidataQ129270982 ScholiaQ129270982MaRDI QIDQ2187329

Juozas Vaicenavicius

Publication date: 2 June 2020

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.08579

zbMATH Keywords

optimal stoppingoptimal liquidationsequential analysisstochastic filteringdrift uncertaintyregime-switching volatility

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

Related Items (2)

Optimal entry decision of unemployment insurance under partial information ⋮ Optimal selling strategies under regime-switching market environment with finite expiry

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