Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/97208
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorGuan, Cen_US
dc.creatorPeng, Jen_US
dc.creatorXu, ZQen_US
dc.date.accessioned2023-02-17T00:58:47Z-
dc.date.available2023-02-17T00:58:47Z-
dc.identifier.issn0022-0396en_US
dc.identifier.urihttp://hdl.handle.net/10397/97208-
dc.language.isoenen_US
dc.publisherAcademic Pressen_US
dc.rights© 2022 Elsevier Inc. All rights reserved.en_US
dc.rights© 2022. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/en_US
dc.rightsThe following publication Guan, C., Peng, J., & Xu, Z. Q. (2022). A free boundary problem arising from a multi-state regime-switching stock trading model. Journal of Differential Equations, 337, 436-459 is available at https://doi.org/10.1016/j.jde.2022.08.006.en_US
dc.subjectFree boundary problemen_US
dc.subjectRegime-switchingen_US
dc.subjectStock tradingen_US
dc.subjectSystem of parabolic variational inequalitiesen_US
dc.titleA free boundary problem arising from a multi-state regime-switching stock trading modelen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage436en_US
dc.identifier.epage459en_US
dc.identifier.volume337en_US
dc.identifier.doi10.1016/j.jde.2022.08.006en_US
dcterms.abstractIn this paper, we study a free boundary problem, which arises from an optimal trading problem of a stock whose price is driven by unobservable market status and noise processes. The free boundary problem is a variational inequality system of three functions with a degenerate operator. We prove that all the four switching free boundaries are no-overlapping, monotonic and C∞-smooth by the approximation method. We also completely determine their relative localities and provide the optimal trading strategies for the stock trading problem.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationJournal of differential equations, 15 Nov. 2022, v. 337, p. 436-459en_US
dcterms.isPartOfJournal of differential equationsen_US
dcterms.issued2022-11-15-
dc.identifier.scopus2-s2.0-85136465326-
dc.identifier.eissn1090-2732en_US
dc.description.validate202302 bckwen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumbera1917, a2099; a3419b-
dc.identifier.SubFormID46129, 46599; 50100-
dc.description.fundingSourceRGCen_US
dc.description.fundingSourceOthersen_US
dc.description.fundingTextNSFC; PolyU-SDU Joint Research Center on Financial Mathematics; CAS AMSS-POLYU Joint Laboratory of Applied Mathematics, The Hong Kong Polytechnic Universityen_US
dc.description.pubStatusPublisheden_US
dc.description.oaCategoryGreen (AAM)en_US
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