Optimal switching under a hybrid diffusion model and applications to stock trading
type: Item
instance of: scholarly article
title: Optimal switching under a hybrid diffusion model and applications to stock trading
zbMATH Open document ID: 1401.93227
author: Siyu Lv
author: Zhen Wu
author: Q. Zhang
published in: Automatica
publication date: 2018-10-17T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 60J10
Mathematics Subject Classification ID: 93C70
Mathematics Subject Classification ID: 93C30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 60J28
zbMATH DE Number: 6957847
zbMATH Keywords: optimal switching
zbMATH Keywords: Markov chain
zbMATH Keywords: variational inequalities
zbMATH Keywords: viscosity solution
zbMATH Keywords: stock trading rule
MaRDI profile type: Publication
full work available at URL: j.automatica.2018.04.048
OpenAlex ID: W2805739077
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Wikidata QID: Q129760354
DOI: 10.1016/J.AUTOMATICA.2018.04.048
description: scientific article; zbMATH DE number 6957847