A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading

نویسندگان

چکیده

In this paper, we introduce and solve a class of optimal stopping problems recursive type. particular, the payoff depends directly on value function problem itself. multidimensional Markovian setting, show that is well posed in sense indeed unique solution to fixed point suitable space continuous functions, an time exists. We then apply our model for stock trading two different market venues, determine rule case.

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

On a Class of Optimal Stopping Problems with Mixed Constraints

The odds-strategy solves a certain class of sequential decision problems. Although, as we will show, the result needs only elementary tools, it is remarkable in several aspects. Indeed, the corresponding solution algorithm (odds-algorithm) has the property that it yields the optimal strategy and optimal value simultaneously, and that it is optimal itself, that is, no other solution algorithm ca...

متن کامل

Optimal Stopping Problems

In the last lecture, we have analyzed the behavior of TD(λ) for approximating the cost­to­go function in autonomous systems. Recall that much of the analysis was based on the idea of sampling states according to their stationary distribution. This was done either explicitly, as was assumed in approximate value iteration, or implicitly through the simulation or observation of system trajectories...

متن کامل

A Variational Inequality Sufficient Condition for Optimal Stopping with Application to an Optimal Stock Selling Problem

We give a variational inequality sufficient condition for optimal stopping problems. This result is illustrated by computing solutions to an optimal stock selling problem. The stock selling problem has a model for the stock price which initially has a “hot” growth rate and then “tanks”. Solution of the conditions allow computation of both the value function and the optimal stopping times. The i...

متن کامل

Optimal Stopping and Applications

These notes are intended to accompany a Graduate course on Optimal stopping, and in places are a bit brief. They follow the book ‘Optimal Stopping and Freeboundary Problems’ by Peskir and Shiryaev, and more details can generally be found there.

متن کامل

On a class of optimal stopping problems for diffusions with discontinuous coefficients

In this paper we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows to apply this PDE method also in cases where the usual regularity assumptions on the coefficients and on the gain function are not satisfied. We apply this method to the optimal stopping of integral functionals with exponential discount of...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Mathematics of Operations Research

سال: 2022

ISSN: ['0364-765X', '1526-5471']

DOI: https://doi.org/10.1287/moor.2021.1190