Multidimensional investment problem

Sören Christensen, Paavo Salminen

    Tutkimustuotos: LehtiartikkeliArtikkeliTieteellinenvertaisarvioitu

    5 Sitaatiot (Scopus)


    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.

    AlkuperäiskieliEi tiedossa
    JulkaisuMathematics and Financial Economics
    DOI - pysyväislinkit
    TilaJulkaistu - 2018
    OKM-julkaisutyyppiA1 Julkaistu artikkeli, soviteltu