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PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME - MaRDI portal

PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME (Q5262511)

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scientific article; zbMATH DE number 6458948
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English
PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME
scientific article; zbMATH DE number 6458948

    Statements

    title
    PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME (English)
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    author
    Peter Kratz
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    Torsten Schöneborn
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    publication date
    15 July 2015
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    zbMATH Keywords
    stochastic control
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    optimal liquidation
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    dark pools
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    singular boundary condition
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    illiquid markets
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    market microstructure
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    cites work
    Q4671207
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    Q5424096
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    Matrix Analysis
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    Identifiers

    DOI
    10.1111/mafi.12037
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    Mathematics Subject Classification ID
    91G10
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    91B24
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    91G80
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    93E20
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    zbMATH DE Number
    6458948
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    OpenAlex ID
    W2324041629
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    arXiv ID
    1201.6130
    0 references
     
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