Stochastic Optimal Control Problems in Finance with Non-linear Cointegration: Thresholding and Regime-switching

    Project: Research project

    Project Details

    Description

    This is a RGC funded project through the general research fund (GRF) with an amount of $500,000. This project investigates several stochastic optimal control problems in Finance when stochastic financial variables evolve according to non-linear cointegration models.
    StatusFinished
    Effective start/end date01/01/1531/12/18