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On Regularized Optimal Execution Problems and Their Singular Limits - MaRDI portal

On Regularized Optimal Execution Problems and Their Singular Limits (Q5879351)

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scientific article; zbMATH DE number 7657802
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English
On Regularized Optimal Execution Problems and Their Singular Limits
scientific article; zbMATH DE number 7657802

    Statements

    title
    On Regularized Optimal Execution Problems and Their Singular Limits (English)
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    author
    Max O. Souza
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    Y. Thamsten
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    publication date
    28 February 2023
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    zbMATH Keywords
    optimal execution
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    illiquid markets
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    stochastic volatility
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    stochastic liquidity
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    viscosity solutions
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    cites work
    Q5263525
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    Q2787919
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    Q3135823
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    Q5526189
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    Q5491528
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    93E20
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    49L25
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    zbMATH DE Number
    7657802
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