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A discrete-time optimal execution problem with market prices subject to random environments - MaRDI portal

A discrete-time optimal execution problem with market prices subject to random environments (Q6081612)

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scientific article; zbMATH DE number 7755354
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English
A discrete-time optimal execution problem with market prices subject to random environments
scientific article; zbMATH DE number 7755354

    Statements

    title
    A discrete-time optimal execution problem with market prices subject to random environments (English)
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    published in
    Top
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    publication date
    26 October 2023
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    zbMATH Keywords
    optimal execution problems
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    price impacts
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    random walks
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    random environment
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    dynamic programming
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    cites work
    Q3534743
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    Q4327751
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    Q4884574
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    Identifiers

    Mathematics Subject Classification ID
    91G15
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    60G50
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    60K37
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    90C39
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    zbMATH DE Number
    7755354
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    OpenAlex ID
    W4318426336
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