Pairs trading under geometric Brownian motions with regime switching

zbMATH Open1541.91242MaRDI QIDQ6553150

Qing Zhang, Phong Thanh Luu, Jingzhi Tie, Nicole Song

Publication date: 11 June 2024

Published in: Pure and Applied Functional Analysis (Search for Journal in Brave)

zbMATH Keywords

quasi-variational inequalitiespairs tradingoptimal policygeometric Brownian motions with regime switching

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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