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• W1979350152 abstract "This paper develops optimal selling rules in asset trading using a regime-switching exponential Gaussian diffusion model. The optimization problem is solved by a combined approach of boundary value problems and probabilistic analysis. A system of linear differential equations with variable coefficients and two-point boundary conditions, satisfied by the objective function of the problem, is derived. The existence and uniqueness of the solution are proved. A closed-form solution in terms of Weber functions is obtained for one-dimensional cases. For m-dimensional cases, a stochastic recursive algorithm for numerically searching the optimal value is developed. Numerical results are reported." @default.
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• W1979350152 date "2008-01-01" @default.
• W1979350152 modified "2023-09-24" @default.
• W1979350152 title "Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model" @default.
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• W1979350152 doi "https://doi.org/10.1137/060652671" @default.
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