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Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience - MaRDI portal

Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience (Q4596852)

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scientific article; zbMATH DE number 6817038
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English
Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
scientific article; zbMATH DE number 6817038

    Statements

    title
    Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience (English)
    0 references
    DOI
    10.1137/16M1105463
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    author
    Paulwin Graewe
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    Ulrich Horst
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    publication date
    11 December 2017
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    Mathematics Subject Classification ID
    93E20
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    60H15
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    91G80
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    zbMATH DE Number
    6817038
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    zbMATH Keywords
    stochastic control
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    multidimensional backward stochastic differential equation
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    portfolio liquidation
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    singular terminal value
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    arXiv ID
    1611.03435
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    cites work
    Q4003924
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    Q2960806
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    Q3217380
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    OpenAlex ID
    W2562963994
    0 references
     
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