The convergence rate from discrete to continuous optimal investment stopping problem

Dingqian Sun

Papers from arXiv.org

Abstract: We study the optimal investment stopping problem in both continuous and discrete case, 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 [9] with an additional stochastic payoff function, we characterize the value function for the continuous problem via the theory of quadratic reflected backward stochastic differential equation (BSDE for short) with unbounded terminal condition. In regard to discrete problem, we get the discretization form composed of piecewise quadratic BSDEs recursively under Markovian framework and the assumption of bounded obstacle, and provide some useful prior estimates about the solutions with the help of auxiliary forward-backward SDE system and Malliavin calculus. Finally, we obtain the uniform convergence and relevant rate from discretely to continuously quadratic reflected BSDE, which arise from corresponding optimal investment stopping problem through above characterization.

Date: 2020-04
New Economics Papers: this item is included in nep-gen and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2004.14627 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2004.14627

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().