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

Project: Research project

Project Details


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.

Funding Source: RGC - General Research Fund (GRF)
Effective start/end date01/01/1531/12/18


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