{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,15]],"date-time":"2026-03-15T13:58:33Z","timestamp":1773583113393,"version":"3.50.1"},"reference-count":12,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2011,8,1]],"date-time":"2011-08-01T00:00:00Z","timestamp":1312156800000},"content-version":"vor","delay-in-days":212,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["International Journal of Mathematics and Mathematical Sciences"],"published-print":{"date-parts":[[2011,1]]},"abstract":"<jats:p>This paper is concerned with a finite\u2010horizon optimal selling rule problem when the underlying stock price\nmovements are modeled by a Markov switching L\u00e9vy process. Assuming that the transaction fee of the selling\noperation is a function of the underlying stock price, the optimal selling rule can be obtained by solving an\noptimal stopping problem. The corresponding value function is shown to be the unique viscosity solution to\nthe associated HJB variational inequalities. A numerical example is presented to illustrate the results.<\/jats:p>","DOI":"10.1155\/2011\/264603","type":"journal-article","created":{"date-parts":[[2011,8,1]],"date-time":"2011-08-01T19:00:24Z","timestamp":1312225224000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Optimal Selling Rule in a Regime Switching L\u00e9vy Market"],"prefix":"10.1155","volume":"2011","author":[{"given":"Moustapha","family":"Pemy","sequence":"first","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2011,8]]},"reference":[{"key":"e_1_2_7_1_2","doi-asserted-by":"publisher","DOI":"10.1137\/S0363012999356325"},{"key":"e_1_2_7_2_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmaa.2005.08.034"},{"key":"e_1_2_7_3_2","first-page":"32","article-title":"A free boundary problem for the heat equation arising from a problem in mathematical economics","volume":"60","author":"McKean H. P.","year":"1960","journal-title":"Industrial Management Review"},{"key":"e_1_2_7_4_2","first-page":"13","article-title":"Rational theory of warrant pricing","volume":"6","author":"Samuelson P. A.","year":"1995","journal-title":"Industrial Management Review"},{"key":"e_1_2_7_5_2","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-03620-4"},{"key":"e_1_2_7_6_2","doi-asserted-by":"publisher","DOI":"10.1109\/TAC.2005.854657"},{"key":"e_1_2_7_7_2","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-6051-6"},{"key":"e_1_2_7_8_2","first-page":"1","article-title":"Optimal stopping of controlled jump diffusion processes: a viscosity solution approach","volume":"8","author":"Pham H.","year":"1998","journal-title":"Journal of Mathematical Systems, Estimation, and Control"},{"key":"e_1_2_7_9_2","unstructured":"PemyM. Option pricing under regime witching Ph.D. thesis 2005 University of Georgia Athens Ga USA."},{"key":"e_1_2_7_10_2","doi-asserted-by":"publisher","DOI":"10.1090\/S0273\u20100979\u20101992\u201000266\u20105"},{"key":"e_1_2_7_11_2","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-0627-9"},{"key":"e_1_2_7_12_2","series-title":"Stochastic Modelling and Applied Probability","volume-title":"Controlled Markov Processes and Viscosity Solutions","author":"Fleming W. H.","year":"2006"}],"container-title":["International Journal of Mathematics and Mathematical Sciences"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/journals\/ijmms\/2011\/264603.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/ijmms\/2011\/264603.xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1155\/2011\/264603","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,10]],"date-time":"2024-06-10T13:54:31Z","timestamp":1718027671000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1155\/2011\/264603"}},"subtitle":[],"editor":[{"given":"Giuseppe","family":"Marino","sequence":"additional","affiliation":[]}],"short-title":[],"issued":{"date-parts":[[2011,1]]},"references-count":12,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2011,1]]}},"alternative-id":["10.1155\/2011\/264603"],"URL":"https:\/\/doi.org\/10.1155\/2011\/264603","archive":["Portico"],"relation":{},"ISSN":["0161-1712","1687-0425"],"issn-type":[{"value":"0161-1712","type":"print"},{"value":"1687-0425","type":"electronic"}],"subject":[],"published":{"date-parts":[[2011,1]]},"assertion":[{"value":"2011-03-05","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2011-04-05","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2011-08-01","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}],"article-number":"264603"}}