Optimal starting–stopping and switching of a CIR process with fixed costs

DOI10.3233/RDA-140107zbMath1409.91254arXiv1411.6080MaRDI QIDQ3119637

Xin Li, Zheng Wang, Tim Leung

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.6080

zbMATH Keywords

confluent hypergeometric functionsCIR processoptimal switchingoptimal starting-stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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