Fig. 3From: Foreign exchange trading and management with the stochastic dual dynamic programming methodRN solutions for seven representative scenarios. The first plot shows the value of state variable \(E_{t}\), which tracks whether there is a change in the FX price dynamics: 0 if prices follow the mean-reverting process of Eq. (12) and 1 (â 1) if prices follow the GBM of Eq. (13) with an upward (downward) trend. The second plot shows the evolution of the FX prices and the third plot shows the fraction purchased (amount purchased from total demand of Dâ=â1)Back to article page