Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach
DOI10.1287/MOOR.2020.1059zbMath1470.60116OpenAlexW3091233581MaRDI QIDQ4991679
Publication date: 3 June 2021
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.2020.1059
optimal multiple switching problemviscosity solution approachpair-trading strategyoptimal switching regionsquadratic risk aversion functionsimultaneous multiple switching
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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