2 papers
math.PR2005
The right time to sell a stock whose price is driven by Markovian noise
Robert C. Dalang, M. -O. Hongler
We consider the problem of finding the optimal time to sell a stock, subject to a fixed sales cost and an exponential discounting rate ρ. We assume that the price of the stock fluc…
cond-mat.stat-mech1998
Semi-Markov Random Walks and Universality in Ising-like Chains
Michel Droz, Max-Olivier Hongler
We exhibit a one to one correspondence between some universal probabilistic properties of the ordering coordinate of one-dimensional Ising-like models and a class of continuous tim…