Multidimensional investment problem

A1 Originalartikel i en vetenskaplig tidskrift (referentgranskad)

Interna författare/redaktörer

Publikationens författare: Sören Christensen, Paavo Salminen
Publiceringsår: 2018
Tidskrift: Mathematics and Financial Economics
Volym: 12
Nummer: 1
Artikelns första sida, sidnummer: 75
Artikelns sista sida, sidnummer: 95
eISSN: 1862-9660


In this paper we demonstrate that {the Riesz representation of excessive functions is a useful and enlightening tool to study optimal stopping problems. After a short general discussion of the Riesz representation we concretize to geometric Brownian motions. After this, a classical investment problem, also known as exchange-of-baskets-problem, is studied. It is seen that the boundary of the stopping region in this problem can be characterized as a unique solution of an integral equation arising immediately from the Riesz representation of the value function. The two-dimensional case is studied in more detail and a numerical algorithm is presented.

Senast uppdaterad 2020-21-02 vid 03:53