• DocumentCode
    1163199
  • Title

    Optimal selling rules in a regime switching model

  • Author

    Guo, X. ; Zhang, Q.

  • Author_Institution
    Sch. of Oper. Res. & Ind. Eng., Cornell Univ., Ithaca, NY, USA
  • Volume
    50
  • Issue
    9
  • fYear
    2005
  • Firstpage
    1450
  • Lastpage
    1455
  • Abstract
    In this note, we derive optimal selling rules under a regime switching model. The optimal stopping rule is of a threshold type for each state, derived via the "modified smooth fit." The proof is via the martingale theory. Numerical examples are reported to demonstrate the dependence of threshold levels with various parameters and to compare our result with some suboptimal selling rules.
  • Keywords
    Markov processes; investment; optimisation; Markov process; martingale theory; optimal selling rules; optimal stopping rule; regime switching model; suboptimal selling rules; Character generation; Context modeling; Diffusion processes; Industrial engineering; Instruction sets; Mathematics; Operations research; Pricing; Time measurement; Markov process; optimal stopping; regime switching; smooth fit;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.2005.854657
  • Filename
    1506961
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1163199