Related papers: When to sell a Markov chain asset?
The limiting probability distribution is one of the key characteristics of a Markov chain since it shows its long-term behavior. In this paper, for a higher order Markov chain, we establish some properties related to its exact limiting…
We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) jump-size distributions. We give sufficient conditions for…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
Markov chain Monte Carlo (MCMC) is one of the most useful approaches to scientific computing because of its flexible construction, ease of use and generality. Indeed, MCMC is indispensable for performing Bayesian analysis. Two critical…
An attempt to obtain market directional information from non-stationary solution of the dynamic equation: "future price tends to the value maximizing the number of shares traded per unit time" is presented. A remarkable feature of the…
In multi-period stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. We analyze how the expected value of this random variable changes…
Whether you trade futures for yourself or a hedge fund, your strategy is counted. Long and short position limits make the number of unique strategies finite. Formulas of the numbers of strategies, transactions, do nothing actions are…
We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the…
We define the spectral gap of a Markov chain on a finite state space as the second-smallest singular value of the generator of the chain, generalizing the usual definition of spectral gap for reversible chains. We then define the relaxation…
Finding the optimal product prices and product assortment are two fundamental problems in revenue management. Usually, a seller needs to jointly determine the prices and assortment while managing a network of resources with limited…
We analyze a continuous-time optimal trade execution problem in multiple assets where the price impact and the resilience can be matrix-valued stochastic processes that incorporate cross-impact effects. In addition, we allow for stochastic…
Optimal sensor scheduling with applications to networked estimation and control systems is considered. We model sensor measurement and transmission instances using jumps between states of a continuous-time Markov chain. We introduce a cost…
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…
We consider stochastic optimization problems where data is drawn from a Markov chain. Existing methods for this setting crucially rely on knowing the mixing time of the chain, which in real-world applications is usually unknown. We propose…
This review paper provides an introduction of Markov chains and their convergence rates which is an important and interesting mathematical topic which also has important applications for very widely used Markov chain Monte Carlo (MCMC)…
In the paper we consider the controlled continuous-time Markov chain describing the interacting particles system with the finite number of types. The system is controlled by two players with the opposite purposes. The limiting game as the…
This paper is concerned with a stochastic linear-quadratic optimal control problem of Markovian regime switching system with model uncertainty and partial information, where the information available to the control is based on a…
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…
This article is the term paper of the course Investments. We mainly focus on modeling long-term investment decisions of a typical utility-maximizing individual, with features of Chinese stock market in perspective. We adopt an OR based…
Dealing with finite Markov chains in discrete time, the focus often lies on convergence behavior and one tries to make different copies of the chain meet as fast as possible and then stick together. There is, however, a very peculiar kind…