Drift dependence of optimal trade execution strategies under transient price impact (Q377452)

In this paper, the authors aims to investigate the stability of models for transient price impact by focusing on the dependence of optimal trade execution strategies on a possible drift of the underlying unaffected price process. The general dynamics of the drift is allowed and, in particular, jumps and non-Markovian structure. The linear continuous-time model of \textit{J. Gatheral} et al. [Math. Finance 22, No. 3, 445--474 (2012; Zbl 1278.91061)] with exponential decay of price impact is used, and the minimization of the expected costs is considered.