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Smooth solutions to portfolio liquidation problems under price-sensitive market impact - MaRDI portal

Smooth solutions to portfolio liquidation problems under price-sensitive market impact (Q681996)

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Smooth solutions to portfolio liquidation problems under price-sensitive market impact
scientific article

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    title
    Smooth solutions to portfolio liquidation problems under price-sensitive market impact (English)
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    author
    Paulwin Graewe
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    Ulrich Horst
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    Éric Séré
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    publication date
    13 February 2018
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    Mathematics Subject Classification ID
    93E20
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    35Q93
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    91G80
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    60H15
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    zbMATH DE Number
    6837780
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    zbMATH Keywords
    stochastic optimal control
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    portfolio liquidation
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    singular terminal value
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    OpenAlex ID
    W2125406222
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    arXiv ID
    1309.0474
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    cites work
    Q5318420
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    Q4778955
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    Q3910361
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    Q3217380
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    Q5562267
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    Q4263364
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    Q3378577
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