A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION (Q5283403)
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scientific article; zbMATH DE number 6751206
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION |
scientific article; zbMATH DE number 6751206 |
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A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION (English)
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21 July 2017
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optimal portfolio liquidation
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optimal trade execution
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illiquid markets
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differential game with state constraints
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