Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function (Q5256601)
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scientific article; zbMATH DE number 6447350
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function |
scientific article; zbMATH DE number 6447350 |
Statements
Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function (English)
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19 June 2015
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market liquidity
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optimal execution
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uncertain market impact
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Lévy process
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viscosity solution
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Hamilton-Jacobi-Bellman equation
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