Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model

DOI10.1137/060652671zbMath1175.91079OpenAlexW1979350152MaRDI QIDQ3631945

M. Yatsuki, Paul W. Eloe, Ruihua Liu, Qing Zhang, G. George Yin

Publication date: 22 June 2009

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/91fd2c6ffe3341b7895fbf12d9e7e3d75eda3f8e

zbMATH Keywords

boundary value problemMarkov chainGaussian diffusionregime-switchingprofit targetstochastic recursive algorithmstop-lossoptimal selling rule

Mathematics Subject Classification ID

Stochastic approximation (62L20) Continuous-time Markov processes on discrete state spaces (60J27) Portfolio theory (91G10)

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