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A renewal theory approach to two-state switching problems with infinite values
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- Ekström, Erik, 1977- (author)
- Uppsala universitet,Tillämpad matematik och statistik
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- Olofsson, Marcus, 1987- (author)
- Uppsala universitet,Tillämpad matematik och statistik
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- Vannestål, Martin (author)
- Uppsala universitet,Analys och sannolikhetsteori
- (creator_code:org_t)
- 2020-05-04
- 2020
- English.
- In: Journal of Applied Probability. - : CAMBRIDGE UNIV PRESS. - 0021-9002 .- 1475-6072. ; 57:1, s. 1-18
- Journal article (peer-reviewed)
Abstract
Subject headings
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- We study a renewal theory approach to perpetual two-state switching problems with infinite value functions. Since the corresponding value functions are infinite, the problems fall outside the standard class of problems which can be analyzed using dynamic programming. Instead, we propose an alternative formulation of optimal switching theory in which optimality of a strategy is defined in terms of its long-term mean return, which can be determined using renewal theory. The approach is illustrated by examples in connection with trend-following strategies in finance.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- Optimal switching
- renewal theory
- expected growth rate
- trend following
Publication and Content Type
- ref (subject category)
- art (subject category)
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