A Hamilton-Jacobi-Bellman approach to optimal trade execution (Q617638)
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scientific article; zbMATH DE number 5840219
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Hamilton-Jacobi-Bellman approach to optimal trade execution |
scientific article; zbMATH DE number 5840219 |
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A Hamilton-Jacobi-Bellman approach to optimal trade execution (English)
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21 January 2011
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optimal execution
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mean-variance tradeoff
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HJB equation
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semi-Lagrangian discretization
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viscosity solution
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