Related papers: When to sell a Markov chain asset?
We consider a unified framework of sequential change-point detection and hypothesis testing modeled by means of hidden Markov chains. One observes a sequence of random variables whose distributions are functionals of a hidden Markov chain.…
We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values…
In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected…
We consider a zero-sum stochastic game for continuous-time Markov chain with countable state space and unbounded transition and pay-off rates. The additional feature of the game is that the controllers together with taking actions are also…
In the paper we propose certain conditions, relatively easy to verify, which ensure the central limit theorem for some general class of Markov chains. To justify the usefulness of our criterion, we further verify it for a particular…
In this brief note, we find formulas for the distribution and the transition probability matrices of a stochastic process described as a time-reversion in a finite time window of a Markov chain, with cluster observation of the Markov state…
In networking applications, one often wishes to obtain estimates about the number of objects at different parts of the network (e.g., the number of cars at an intersection of a road network or the number of packets expected to reach a node…
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…
Markov chains are one of the well-known tools for modeling and analyzing stochastic systems. At the same time, they are used for constructing random walks that can achieve a given stationary distribution. This paper is concerned with…
We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for…
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem as minimization of a cost-risk…
We introduce bounds on the finite-time performance of Markov chain Monte Carlo algorithms in approaching the global solution of stochastic optimization problems over continuous domains. A comparison with other state-of-the-art methods…
We study optimal investment problem for a diffusion market consisting of a finite number of risky assets (for example, bonds, stocks and options). Risky assets evolution is described by Ito's equation, and the number of risky assets can be…
The problem of controlling a finite state Markov chain in the presence of an adversary so as to ensure desired performance levels for a vector of objectives is cast in the framework of Blackwell approachability. Relying on an elementary two…
A stock loan is a loan, secured by a stock, which gives the borrower the right to redeem the stock at any time before or on the loan maturity. The way of dividends distribution has a significant effect on the pricing of the stock loan and…
The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position be fully closed by terminal time. Since the asset price is…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…
The purpose of this paper is to study the time average behavior of Markov chains with transition probabilities being kernels of completely continuous operators, and therefore to provide a sufficient condition for a class of Markov chains…
We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive signal while trading. When the trader creates an instantaneous…