Multidimensional investment problem

Sören Christensen, Paavo Salminen

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    5 Citeringar (Scopus)

    Sammanfattning

    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.

    OriginalspråkOdefinierat/okänt
    Sidor (från-till)75–95
    TidskriftMathematics and Financial Economics
    Volym12
    Utgåva1
    DOI
    StatusPublicerad - 2018
    MoE-publikationstypA1 Tidskriftsartikel-refererad

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