Optimal Stock Selling Based on the Global Maximum

DOI10.1137/110844179zbMath1259.35200OpenAlexW3124114850MaRDI QIDQ3143238

Yifei Zhong, Min Dai, Zhou Yang

Publication date: 29 November 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110844179

zbMATH Keywords

geometric Brownian motionsquare erroroptimal selling strategy

Mathematics Subject Classification ID

Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Optimal stochastic control (93E20) Free boundary problems for PDEs (35R35) Existence theories for optimal control problems involving partial differential equations (49J20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs in connection with control and optimization (35Q93)

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Momentum liquidation under partial information ⋮ Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty ⋮ Analysis of the optimal exercise boundary of American put options with delivery lags

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