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Optimal Execution with Multiplicative Price Impact - MaRDI portal

Optimal Execution with Multiplicative Price Impact (Q5250046)

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scientific article; zbMATH DE number 6435989
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English
Optimal Execution with Multiplicative Price Impact
scientific article; zbMATH DE number 6435989

    Statements

    title
    Optimal Execution with Multiplicative Price Impact (English)
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    author
    Xin Guo
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    Mihail Zervos
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    publication date
    15 May 2015
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    zbMATH Keywords
    optimal execution problem
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    multiplicative price impact
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    singular stochastic control
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    cites work
    Q3534743
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    Identifiers

    DOI
    10.1137/120894622
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    Mathematics Subject Classification ID
    93E20
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    91G80
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    49L20
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    zbMATH DE Number
    6435989
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    OpenAlex ID
    W1976590557
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