Explicit solution for constrained optimal execution problem with general correlated market depth (Q1655928)
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scientific article; zbMATH DE number 6915809
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Explicit solution for constrained optimal execution problem with general correlated market depth |
scientific article; zbMATH DE number 6915809 |
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Explicit solution for constrained optimal execution problem with general correlated market depth (English)
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10 August 2018
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optimal execution problem
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random market depth
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limit order book
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stochastic dynamic programming
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