Open AccessAn optimal trading rule of a mean-reverting asset
Author(s) -
Hoi Tin Kong,
Qing Zhang
Publication year - 2010
Publication title -
discrete and continuous dynamical systems - b
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.864
H-Index - 53
eISSN - 1553-524X
pISSN - 1531-3492
DOI - 10.3934/dcdsb.2010.14.1403
Subject(s) - mean reversion , hamilton–jacobi–bellman equation , asset (computer security) , optimal stopping , variational inequality , trading strategy , value (mathematics) , mathematics , work (physics) , algebraic number , mathematical optimization , mathematical economics , economics , econometrics , computer science , bellman equation , statistics , mathematical analysis , engineering , mechanical engineering , computer security
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