Optimal Selling Rule in a Regime Switching Lévy Market

<table>Value functions <svg height="15.0875" id="M200" style="vertical-align:-2.3205pt" version="1.1" viewbox="0 0 56.924999 15.0875" width="56.924999" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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q0 43 -12 57q-11 12 -11 24q0 19 15 35.5t34 16.5q18 0 30.5 -34.5t12.5 -81.5z" id="x1D463"></path></g><g transform="matrix(.017,-0,0,-.017,8.222,12.138)"><path d="M300 -147l-18 -23q-106 71 -159 185.5t-53 254.5v1q0 139 53 252.5t159 186.5l18 -24q-74 -62 -115.5 -173.5t-41.5 -242.5q0 -130 41.5 -242.5t115.5 -174.5z" id="x28"></path></g><g transform="matrix(.017,-0,0,-.017,14.103,12.138)"><path d="M324 430l-26 -36l-112 -4l-55 -265q-13 -66 7 -66q13 0 44.5 20t50.5 40l17 -24q-38 -40 -85.5 -73.5t-87.5 -33.5q-50 0 -21 138l55 262h-80l-2 8l25 34h66l25 99l78 63l10 -9l-37 -153h128z" id="x1D461"></path></g><g transform="matrix(.017,-0,0,-.017,19.9,12.138)"><path d="M95 130q31 0 61 -30t30 -78q0 -53 -38 -87.5t-93 -51.5l-11 29q77 31 77 85q0 26 -17.5 43t-44.5 24q-4 0 -8.5 6.5t-4.5 17.5q0 18 15 30t34 12z" id="x2C"></path></g><g transform="matrix(.017,-0,0,-.017,26.598,12.138)"><path d="M536 404q0 -17 -13.5 -31.5t-26.5 -14.5q-8 0 -15 10q-11 14 -25 14q-22 0 -67 -50q-47 -52 -68 -82l37 -102q31 -88 55 -88t78 59l16 -23q-32 -48 -68.5 -78t-65.5 -30q-19 0 -37.5 20t-29.5 53l-41 116q-72 -106 -114.5 -147.5t-79.5 -41.5q-21 0 -34.5 14t-13.5 37
q0 16 13.5 31.5t28.5 15.5q12 0 17 -11q5 -10 25 -10q22 0 57.5 36t89.5 111l-40 108q-22 58 -36 58q-21 0 -67 -57l-19 20q81 107 125 107q17 0 30 -22t39 -88l22 -55q68 92 108.5 128.5t74.5 36.5q20 0 32.5 -14t12.5 -30z" id="x1D465"></path></g><g transform="matrix(.017,-0,0,-.017,36.1,12.138)"><path d="M95 130q31 0 61 -30t30 -78q0 -53 -38 -87.5t-93 -51.5l-11 29q77 31 77 85q0 26 -17.5 43t-44.5 24q-4 0 -8.5 6.5t-4.5 17.5q0 18 15 30t34 12z" id="x2C"></path></g><g transform="matrix(.017,-0,0,-.017,42.814,12.138)"><path d="M384 0h-275v27q67 5 81.5 18.5t14.5 68.5v385q0 38 -7.5 47.5t-40.5 10.5l-48 2v24q85 15 178 52v-521q0 -55 14.5 -68.5t82.5 -18.5v-27z" id="x31"></path></g><g transform="matrix(.017,-0,0,-.017,50.974,12.138)"><path d="M275 270q0 -296 -211 -440l-19 23q75 62 116.5 174t41.5 243t-42 243t-116 173l19 24q211 -144 211 -440z" id="x29"></path></g>
</svg> for the uptrend and <svg height="15.0875" id="M201" style="vertical-align:-2.3205pt" version="1.1" viewbox="0 0 56.924999 15.0875" width="56.924999" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,12.138)"><path d="M457 332q0 -81 -41 -161.5t-105.5 -131.5t-129.5 -51q-46 0 -79 30.5t-33 86.5q0 18 7 51q18 95 46 187q6 19 6 33q0 7 -7 7q-24 0 -78 -64l-20 23q32 48 73 77t78 29q33 0 33 -46q0 -38 -10 -70q-28 -92 -39 -152q-7 -38 -7 -57q0 -78 69 -78q68 0 118 75.5t50 194.5
q0 43 -12 57q-11 12 -11 24q0 19 15 35.5t34 16.5q18 0 30.5 -34.5t12.5 -81.5z" id="x1D463"></path></g><g transform="matrix(.017,-0,0,-.017,8.222,12.138)"><path d="M300 -147l-18 -23q-106 71 -159 185.5t-53 254.5v1q0 139 53 252.5t159 186.5l18 -24q-74 -62 -115.5 -173.5t-41.5 -242.5q0 -130 41.5 -242.5t115.5 -174.5z" id="x28"></path></g><g transform="matrix(.017,-0,0,-.017,14.103,12.138)"><path d="M324 430l-26 -36l-112 -4l-55 -265q-13 -66 7 -66q13 0 44.5 20t50.5 40l17 -24q-38 -40 -85.5 -73.5t-87.5 -33.5q-50 0 -21 138l55 262h-80l-2 8l25 34h66l25 99l78 63l10 -9l-37 -153h128z" id="x1D461"></path></g><g transform="matrix(.017,-0,0,-.017,19.9,12.138)"><path d="M95 130q31 0 61 -30t30 -78q0 -53 -38 -87.5t-93 -51.5l-11 29q77 31 77 85q0 26 -17.5 43t-44.5 24q-4 0 -8.5 6.5t-4.5 17.5q0 18 15 30t34 12z" id="x2C"></path></g><g transform="matrix(.017,-0,0,-.017,26.598,12.138)"><path d="M536 404q0 -17 -13.5 -31.5t-26.5 -14.5q-8 0 -15 10q-11 14 -25 14q-22 0 -67 -50q-47 -52 -68 -82l37 -102q31 -88 55 -88t78 59l16 -23q-32 -48 -68.5 -78t-65.5 -30q-19 0 -37.5 20t-29.5 53l-41 116q-72 -106 -114.5 -147.5t-79.5 -41.5q-21 0 -34.5 14t-13.5 37
q0 16 13.5 31.5t28.5 15.5q12 0 17 -11q5 -10 25 -10q22 0 57.5 36t89.5 111l-40 108q-22 58 -36 58q-21 0 -67 -57l-19 20q81 107 125 107q17 0 30 -22t39 -88l22 -55q68 92 108.5 128.5t74.5 36.5q20 0 32.5 -14t12.5 -30z" id="x1D465"></path></g><g transform="matrix(.017,-0,0,-.017,36.1,12.138)"><path d="M95 130q31 0 61 -30t30 -78q0 -53 -38 -87.5t-93 -51.5l-11 29q77 31 77 85q0 26 -17.5 43t-44.5 24q-4 0 -8.5 6.5t-4.5 17.5q0 18 15 30t34 12z" id="x2C"></path></g><g transform="matrix(.017,-0,0,-.017,42.814,12.138)"><path d="M412 140l28 -9q0 -2 -35 -131h-373v23q112 112 161 170q59 70 92 127t33 115q0 63 -31 98t-86 35q-75 0 -137 -93l-22 20l57 81q55 59 135 59q69 0 118.5 -46.5t49.5 -122.5q0 -62 -29.5 -114t-102.5 -130l-141 -149h186q42 0 58.5 10.5t38.5 56.5z" id="x32"></path></g><g transform="matrix(.017,-0,0,-.017,50.974,12.138)"><path d="M275 270q0 -296 -211 -440l-19 23q75 62 116.5 174t41.5 243t-42 243t-116 173l19 24q211 -144 211 -440z" id="x29"></path></g>
</svg> for the downtrend.</table>

International Journal of Mathematics and Mathematical Sciences

Optimal Selling Rule in a Regime Switching Lévy Market

Figure 1