Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Xu, Zuoquan"'
We study a stochastic control problem with regime switching arising in an optimal liquidation problem with dark pools and multiple regimes. The new feature of this model is that it introduces a system of BSDEs with jumps and with singular terminal va
Externí odkaz:
http://arxiv.org/abs/2412.19058
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper aims to develop new methodologies, which are significantly different fro
Externí odkaz:
http://arxiv.org/abs/1507.00934
Autor:
Shiryaev, Albert1 (AUTHOR), Xu¶, Zuoquan2 (AUTHOR) xuz@maths.ox.ac.uk, Zhou, Xun Yu2,3 (AUTHOR) zhouxy@maths.ox.ac.uk
Publikováno v:
Quantitative Finance. Dec2008, Vol. 8 Issue 8, p765-776. 12p.
Autor:
Shiryaev, Albert1 (AUTHOR), Xu, Zuoquan2 (AUTHOR), Zhou, Xun Yu3,4 (AUTHOR) zhouxy@maths.ox.ac.uk
Publikováno v:
Quantitative Finance. Dec2008, Vol. 8 Issue 8, p761-762. 2p.