An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection (Q5247617)
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scientific article; zbMATH DE number 6430559
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection |
scientific article; zbMATH DE number 6430559 |
Statements
An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection (English)
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24 April 2015
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stochastic control
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dynamic programming
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mathematical finance
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optimal liquidation
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closed-form solutions
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