Optimal stock liquidation in a regime switching model with finite time horizon

Journal of Mathematical Analysis and Applications

Volumn 321, Issue 2, 2006, Pages 537-552

  Pemy, M ^a   Zhang, Q ^a  

^a UNIVERSITY OF GEORGIA   (United States)

Author keywords

Markovian switching; Optimal selling; Viscosity solution

Indexed keywords

EID: 33646497217     PISSN: 0022247X     EISSN: 10960813     Source Type: Journal    
DOI: 10.1016/j.jmaa.2005.08.034     Document Type: Article

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