Optimal pricing barriers in a regulated market using reflected diffusion processes

DOI10.1080/14697688.2015.1034163zbMath1469.62362OpenAlexW2300851729MaRDI QIDQ5001159

Zheng Han, Chihoon Lee, Yaozhong Hu

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1034163

zbMATH Keywords

reflected stochastic differential equationsergodic costinfinite horizon discount costoptimal barriersregulated (controlled) market

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Sequential estimation (62L12)

Related Items (9)

Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary ⋮ Large deviations and exit-times for reflected McKean-Vlasov equations with self-stabilising terms and superlinear drifts ⋮ Maximum likelihood estimation for the reflected stochastic linear system with a large signal ⋮ Nadaraya-Watson estimators for reflected stochastic processes ⋮ Reflecting Brownian motion in generalized parabolic domains: explosion and superdiffusivity ⋮ Neural network stochastic differential equation models with applications to financial data forecasting ⋮ Supersymmetric generalized power functions ⋮ Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary ⋮ On pricing barrier control in a regime-switching regulated market

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