Article ID Journal Published Year Pages File Type
7373220 Mathematical Social Sciences 2016 6 Pages PDF
Abstract
This paper addresses the problem of buying an asset at its expected globally minimal price, to that end, we model it as an optimal stopping problem with regime switching driven by a continuous-time Markov chain. We characterize the optimal stopping time by optimizing the value functions and writing them as solutions of a system of integral equations. Finally we develop a stochastic recursive algorithm for numerical implementation.
Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
Authors
, , , ,