Multidimensional investment problem

Link:
Autor/in:
Erscheinungsjahr:
2018
Medientyp:
Text
Schlagworte:
  • Article
  • Article
Beschreibung:
  • In this paper we demonstrate that the Riesz representation of excessive functions is a useful and enlightening tool to study optimal stopping problems. After a short general discussion of the Riesz representation we concretize to geometric Brownian motions. After this, a classical investment problem, also known as exchange-of-baskets-problem, is studied. It is seen that the boundary of the stopping region in this problem can be characterized as a unique solution of an integral equation arising immediately from the Riesz representation of the value function. The two-dimensional case is studied in more detail and a numerical algorithm is presented.
Lizenz:
  • info:eu-repo/semantics/restrictedAccess
Quellsystem:
Forschungsinformationssystem der UHH

Interne Metadaten
Quelldatensatz
oai:www.edit.fis.uni-hamburg.de:publications/410e8ac4-33d3-4a80-ade8-ef705d5c1faa