Optimal Stopping Time to Buy an Asset When Growth Rate Is a Two-State Markov Chain

• 作者: Pham Van Khanh
• 来源期刊: 美国运筹学期刊(英文)
• 学科: 数学
• 关键词: Optimal STOPPING Time POSTERIOR PROBABILITY THRESHOLD
• 年，卷（期）: mgycxqkyw_2014,（3）
• 页码范围: 132-141
• 页数: 10页
• 分类号: O1

摘要

In this paper we consider the problem of determining the optimal time to buy an asset in a position of an uptrend or downtrend in the financial market and currency market as well as other markets. Asset price is modeled as a geometric Brownian motion with drift being a two-state Markov chain. Based on observations of asset prices, investors want to detect the change points of price trends as accurately as possible, so that they can make the decision to buy. Using filtering techniques and stochastic analysis, we will develop the optimal boundary at which investors implement their decisions when the posterior probability process reaches a certain threshold.