The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
Stochastic dynamic investment games with regime switching model in continuous time between two investors are developed. The market coefficients, such as the bank interest rate, stocks appreciation rates, and volatility rates, are modulated by continuous-time Markov chain. There is a single payoff function which depends on both investors' wealth processes. One player chooses a dynamic portfolio strategy...
Portfolio stochastic control problem is proposed and analyzed for a market consisting of one bank account and multiple stocks. The market parameters, including the bank interest rate and the appreciation and volatility rates of the stocks, depend on the market mode that switches among a finite number of states. The random regime switching is assumed to be independent of the underlying Brownian motion...
The optimal portfolio problem for a single riskless bond and risky stock modeled by jump-diffusion process has been established. The investment objective is maximizing the utility of his consumption and terminal wealth. The problem is formulated as a stochastic optimal control problem. The verification theorem and HJB equation for the optimal trading strategies are given by stochastic optimal control...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.