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An optimal trading rule of a mean-reverting asset
1. | Department of Mathematics, University of Georgia, Athens, GA 30602, United States, United States |
[1] |
Yin Li, Xuerong Mao, Yazhi Song, Jian Tao. Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition. Journal of Industrial and Management Optimization, 2022, 18 (1) : 75-93. doi: 10.3934/jimo.2020143 |
[2] |
Yusuke Murase, Atsushi Kadoya, Nobuyuki Kenmochi. Optimal control problems for quasi-variational inequalities and its numerical approximation. Conference Publications, 2011, 2011 (Special) : 1101-1110. doi: 10.3934/proc.2011.2011.1101 |
[3] |
Lori Badea. Multigrid methods for some quasi-variational inequalities. Discrete and Continuous Dynamical Systems - S, 2013, 6 (6) : 1457-1471. doi: 10.3934/dcdss.2013.6.1457 |
[4] |
Yusuke Murase, Risei Kano, Nobuyuki Kenmochi. Elliptic Quasi-variational inequalities and applications. Conference Publications, 2009, 2009 (Special) : 583-591. doi: 10.3934/proc.2009.2009.583 |
[5] |
Yanqing Hu, Zaiming Liu, Jinbiao Wu. Optimal impulse control of a mean-reverting inventory with quadratic costs. Journal of Industrial and Management Optimization, 2018, 14 (4) : 1685-1700. doi: 10.3934/jimo.2018027 |
[6] |
Yurii Nesterov, Laura Scrimali. Solving strongly monotone variational and quasi-variational inequalities. Discrete and Continuous Dynamical Systems, 2011, 31 (4) : 1383-1396. doi: 10.3934/dcds.2011.31.1383 |
[7] |
Laura Scrimali. Mixed behavior network equilibria and quasi-variational inequalities. Journal of Industrial and Management Optimization, 2009, 5 (2) : 363-379. doi: 10.3934/jimo.2009.5.363 |
[8] |
Edward Allen. Environmental variability and mean-reverting processes. Discrete and Continuous Dynamical Systems - B, 2016, 21 (7) : 2073-2089. doi: 10.3934/dcdsb.2016037 |
[9] |
Samir Adly, Tahar Haddad. On evolution quasi-variational inequalities and implicit state-dependent sweeping processes. Discrete and Continuous Dynamical Systems - S, 2020, 13 (6) : 1791-1801. doi: 10.3934/dcdss.2020105 |
[10] |
Haisen Zhang. Clarke directional derivatives of regularized gap functions for nonsmooth quasi-variational inequalities. Mathematical Control and Related Fields, 2014, 4 (3) : 365-379. doi: 10.3934/mcrf.2014.4.365 |
[11] |
Qihong Chen. Recovery of local volatility for financial assets with mean-reverting price processes. Mathematical Control and Related Fields, 2018, 8 (3&4) : 625-635. doi: 10.3934/mcrf.2018026 |
[12] |
Weiwei Wang, Ping Chen. A mean-reverting currency model with floating interest rates in uncertain environment. Journal of Industrial and Management Optimization, 2019, 15 (4) : 1921-1936. doi: 10.3934/jimo.2018129 |
[13] |
Miao Tian, Xiangfeng Yang, Yi Zhang. Lookback option pricing problem of mean-reverting stock model in uncertain environment. Journal of Industrial and Management Optimization, 2021, 17 (5) : 2703-2714. doi: 10.3934/jimo.2020090 |
[14] |
Wan-Hua He, Chufang Wu, Jia-Wen Gu, Wai-Ki Ching, Chi-Wing Wong. Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility. Journal of Industrial and Management Optimization, 2022, 18 (3) : 2077-2094. doi: 10.3934/jimo.2021057 |
[15] |
Nobuyuki Kenmochi. Parabolic quasi-variational diffusion problems with gradient constraints. Discrete and Continuous Dynamical Systems - S, 2013, 6 (2) : 423-438. doi: 10.3934/dcdss.2013.6.423 |
[16] |
Masao Fukushima. A class of gap functions for quasi-variational inequality problems. Journal of Industrial and Management Optimization, 2007, 3 (2) : 165-171. doi: 10.3934/jimo.2007.3.165 |
[17] |
Takeshi Fukao, Nobuyuki Kenmochi. Quasi-variational inequality approach to heat convection problems with temperature dependent velocity constraint. Discrete and Continuous Dynamical Systems, 2015, 35 (6) : 2523-2538. doi: 10.3934/dcds.2015.35.2523 |
[18] |
Wenqing Bao, Xianyi Wu, Xian Zhou. Optimal stopping problems with restricted stopping times. Journal of Industrial and Management Optimization, 2017, 13 (1) : 399-411. doi: 10.3934/jimo.2016023 |
[19] |
Jingzhen Liu, Ka Fai Cedric Yiu, Alain Bensoussan. Ergodic control for a mean reverting inventory model. Journal of Industrial and Management Optimization, 2018, 14 (3) : 857-876. doi: 10.3934/jimo.2017079 |
[20] |
Livia Betz, Irwin Yousept. Optimal control of elliptic variational inequalities with bounded and unbounded operators. Mathematical Control and Related Fields, 2021, 11 (3) : 479-498. doi: 10.3934/mcrf.2021009 |
2020 Impact Factor: 1.327
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