Geodesic
Choosing an optimal switching moment on the financial market with alternative strategies (semimartingale approach)
Teoriâ veroâtnostej i ee primeneniâ, Tome 45 (2000) no. 3, pp. 505-520

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Let the investor operate with bonds and stocks on the financial market. We fix the interval $[0,T]$ and suppose that once during this period of time the investor is able to choose between two alternative portfolios or, in other words, to switch his strategy. It is assumed that both portfolios are governed by linear stochastic differential equations. We look for an optimal switching moment using the theory of “turning” stopping times.
Keywords: stochastic process, optimal stopping time, linear stochastic differential equation, investor
Mots-clés : capital. 
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     author = {Yu. S. Mishura and Ya. A. Ol'tsik},
     title = {Choosing an optimal switching moment on the financial market with alternative strategies (semimartingale approach)},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {505--520},
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     volume = {45},
     number = {3},
     year = {2000},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2000_45_3_a4/}
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Yu. S. Mishura; Ya. A. Ol'tsik. Choosing an optimal switching moment on the financial market with alternative strategies (semimartingale approach). Teoriâ veroâtnostej i ee primeneniâ, Tome 45 (2000) no. 3, pp. 505-520. http://geodesic.mathdoc.fr/item/TVP_2000_45_3_a4/