Optimal selling rules in a regime switching model

被引：62

作者：

Guo, X ^{[1
]}

Zhang, Q

机构：

[1] Cornell Univ, Sch Operat Res & Ind Engn, Ithaca, NY 14853 USA

[2] Univ Georgia, Dept Math, Athens, GA 30602 USA

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 2005年 / 50卷 / 09期

关键词：

Markov process; optimal stopping; regime switching; smooth fit;

D O I：

10.1109/TAC.2005.854657

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this note, we derive optimal selling rules under a regime switching model. The optimal stopping rule is of a threshold type for each state, derived via the "modified smooth fit." The proof is via the martingale theory. Numerical examples are reported to demonstrate the dependence of threshold levels with various parameters and to compare our result with some suboptimal selling rules.

引用

页码：1450 / 1455

页数：6

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