An optimal mean-reversion trading rule under a Markov chain model

DOI10.3934/mcrf.2016012zbMath1345.93168OpenAlexW2489473640MaRDI QIDQ326803

Qing Zhang, Jingzhi Tie

Publication date: 12 October 2016

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2016012

zbMATH Keywords

variational inequalitiesoptimal stoppingmean-reversion Markovian asset

Mathematics Subject Classification ID

Variational inequalities (49J40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

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