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Teoriya Veroyatnostei i ee Primeneniya, 2000, Volume 45, Issue 3, Pages 505–520
DOI: https://doi.org/10.4213/tvp482 (Mi tvp482) 		 
Choosing an optimal switching moment on the financial market with alternative strategies (semimartingale approach)

Yu. S. Mishura, Ya. A. Ol'tsik

National Taras Shevchenko University of Kyiv, Faculty of Mechanics and Mathematics
Full-text PDF (713 kB)
DOI: https://doi.org/10.4213/tvp482
Abstract: Let the investor operate with bonds and stocks on the financial market. We fix the interval $[0,T]$ and suppose that once during this period of time the investor is able to choose between two alternative portfolios or, in other words, to switch his strategy. It is assumed that both portfolios are governed by linear stochastic differential equations. We look for an optimal switching moment using the theory of “turning” stopping times.
Keywords: stochastic process, optimal stopping time, linear stochastic differential equation, investor, capital.
Received: 25.03.1998
English version:
Theory of Probability and its Applications, 2001, Volume 45, Issue 3, Pages 480–493
DOI: https://doi.org/10.1137/S0040585X97978419
Bibliographic databases:
Language: Russian
Citation: Yu. S. Mishura, Ya. A. Ol'tsik, “Choosing an optimal switching moment on the financial market with alternative strategies (semimartingale approach)”, Teor. Veroyatnost. i Primenen., 45:3 (2000), 505–520; Theory Probab. Appl., 45:3 (2001), 480–493
Citation in format AMSBIB
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