Optimal asset liquidation with multiplicative transient price impact

DOI10.1007/s00245-017-9418-0zbMath1403.35330arXiv1501.01892OpenAlexW2301290066MaRDI QIDQ1630423

Peter Frentrup, Dirk Becherer, Todor Bilarev

Publication date: 10 December 2018

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.01892

zbMATH Keywords

variational inequalityfree boundarysingular controlilliquiditylimit order bookfinite-fuel problemmultiplicative price impact

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (11)

Regular finite fuel stochastic control problems with exit time ⋮ Understanding the dual formulation for the hedging of path-dependent options with price impact ⋮ Optimal liquidation under stochastic liquidity ⋮ Hedging with physical or cash settlement under transient multiplicative price impact ⋮ Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies ⋮ Optimal placement in a limit order book: an analytical approach ⋮ Second-Order Stochastic Target Problems with Generalized Market Impact ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters ⋮ Continuous-time duality for superreplication with transient price impact ⋮ Optimal installation of renewable electricity sources: the case of Italy ⋮ Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem

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