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OPTIMAL LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING - MaRDI portal

OPTIMAL LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING

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Publication:5199394

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DOI10.4134/BKMS.2011.48.4.737zbMath1219.91131OpenAlexW2072624687MaRDI QIDQ5199394

Dong-Hoon Shin

Publication date: 16 August 2011

Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: http://www.mathnet.or.kr/mathnet/kms_content.php?no=406348

zbMATH Keywords

optimal control viscosity solution regime switching HJB equation optimal selling rule

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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