【摘 要】
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The author studies the optimal investment stopping problem in both continu-ous and discrete cases,where the investor needs to choose the optimal trading strateg
【机 构】
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School of Mathematical Sciences,Fudan University,Shanghai 200433,China
论文部分内容阅读
The author studies the optimal investment stopping problem in both continu-ous and discrete cases,where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal wealth.Based on the work of Hu et al.(2018)with an additional stochastic payoff function,the author characterizes the value function for the continuous problem via the theory of quadratic reflected backward stochastic differential equations(BSDEs for short)with un-bounded terminal condition.In regard to the discrete problem,she gets the discretization form composed of piecewise quadratic BSDEs recursively under Markovian framework and the assumption of bounded obstacle,and provides some useful a priori estimates about the solutions with the help of an auxiliary forward-backward SDE system and Malliavin calculus.Finally,she obtains the uniform convergence and relevant rate from discretely to continuously quadratic reflected BSDE,which arise from corresponding optimal investment stopping problem through above characterization.
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