论文标题
多州政权转换股票交易模型引起的自由边界问题
A free boundary problem arising from a multi-state regime-switching stock trading model
论文作者
论文摘要
在本文中，我们研究了一个自由边界问题，该问题是由不确定的市场状况过程驱动的股票的最佳交易问题引起的。自由边界问题是具有退化运算符的三个函数的变异不等式系统。本文的主要贡献是，我们不仅证明了所有四个自由界限都是没有重叠，单调和$ c^{\ infty} $ - 平滑的，而且还完全确定了它们的相对地区，并为股票交易问题提供了最佳的交易策略。
In this paper, we study a free boundary problem, which arises from an optimal trading problem of a stock that is driven by a uncertain market status process. The free boundary problem is a variational inequality system of three functions with a degenerate operator. The main contribution of this paper is that we not only prove all the four switching free boundaries are no-overlapping, monotonic and $C^{\infty}$-smooth, but also completely determine their relative localities and provide the optimal trading strategies for the stock trading problem.
