Optimal selling rule in a regime switching Lévy market

DOI10.1155/2011/264603zbMath1220.91036DBLPjournals/ijmmsc/Pemy11OpenAlexW2073572288WikidataQ58687701 ScholiaQ58687701MaRDI QIDQ638071

Moustapha Pemy

Publication date: 9 September 2011

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/264603

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (4)

Risk management for crude oil futures: an optimal stopping-timing approach ⋮ OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK ⋮ Optimal selling strategies under regime-switching market environment with finite expiry ⋮ Optimal oil production and taxation under mean reverting jump diffusion models

Cites Work

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• Controlled Markov processes and viscosity solutions
• Optimal stock liquidation in a regime switching model with finite time horizon
• Stock Trading: An Optimal Selling Rule
• User’s guide to viscosity solutions of second order partial differential equations
• Optimal selling rules in a regime switching model

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