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- Ekström, Erik,1977-Uppsala universitet,Tillämpad matematik och statistik (author)
A renewal theory approach to two-state switching problems with infinite values
- Article/chapterEnglish2020
Publisher, publication year, extent ...
- 2020-05-04
- CAMBRIDGE UNIV PRESS,2020
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- LIBRIS-ID:oai:DiVA.org:uu-412582
- https://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-412582URI
- https://doi.org/10.1017/jpr.2019.74DOI
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- Language:English
- Summary in:English
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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 and genre
- NATURVETENSKAP Matematik Sannolikhetsteori och statistik hsv//swe
- NATURAL SCIENCES Mathematics Probability Theory and Statistics hsv//eng
- Optimal switching
- renewal theory
- expected growth rate
- trend following
Added entries (persons, corporate bodies, meetings, titles ...)
- Olofsson, Marcus,1987-Uppsala universitet,Tillämpad matematik och statistik(Swepub:uu)marol450 (author)
- Vannestål, MartinUppsala universitet,Analys och sannolikhetsteori(Swepub:uu)marva349 (author)
- Uppsala universitetTillämpad matematik och statistik (creator_code:org_t)
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- In:Journal of Applied Probability: CAMBRIDGE UNIV PRESS57:1, s. 1-180021-90021475-6072
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