Search Results - subject:"Switching diffusions"

Coupled price-volume equity models with auto-induced regime switching

Esquível, Manuel L.; Krasii, Nadezhda P.; Mota, Pedro P.; … - In: Risks : open access journal 11 (2023) 11, pp. 1-20

In this work, we present a rigorous development of a model for the Price-Volume relationship of transactions introduced in 2009. For this development, we rely on the precise formulation of diffusion auto-induced regime-switching models presented in our previous work of 2020. The auto-induced...

Persistent link: https://www.econbiz.de/10014436662

Exact optimal stopping for multidimensional linear switching diffusions

Ernst, Philip; Mei, Hongwei - In: Mathematics of operations research 48 (2023) 3, pp. 1589-1606

Persistent link: https://www.econbiz.de/10014329347

Controlled switching diffusions under ambiguity : the average criterion

Escobedo-Trujillo, Beatris A.; Higuera-Chan, Carmen G.; … - In: International game theory review 23 (2021) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10013175830

Constrained optimality for controlled switching diffusions with an application to stock purchasing

Lu, Xianggang - In: Quantitative finance 19 (2019) 12, pp. 2069-2085

Persistent link: https://www.econbiz.de/10012195672

Ergodicity of regime-switching diffusions in Wasserstein distances

Shao, Jinghai - In: Stochastic Processes and their Applications 125 (2015) 2, pp. 739-758

-dependent regime-switching diffusions in an infinite countable state space is also studied. …

Persistent link: https://www.econbiz.de/10011194123