Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems (Q6565561)
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scientific article; zbMATH DE number 7874610
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems |
scientific article; zbMATH DE number 7874610 |
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Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems (English)
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2 July 2024
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optimal trade execution
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stochastic price impact
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stochastic resilience
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finite-variation stochastic control
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continuous extension of cost functional
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progressively measurable execution strategy
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linear-quadratic stochastic control
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backward stochastic differential equation
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