Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies

DOI10.3150/17-BEJ1014zbMath1459.60121arXiv1701.02167MaRDI QIDQ1740520

Todor Bilarev, Dirk Becherer, Peter Frentrup

Publication date: 30 April 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.02167

zbMATH Keywords

stabilitystochastic differential equationSkorokhod spaceoptimal liquidationtransient price impactno-arbitrageilliquid marketsSkorokhod topologiescontinuity of proceeds

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Functional limit theorems; invariance principles (60F17) Portfolio theory (91G10)

Related Items (10)

Extended Mean Field Games with Singular Controls ⋮ Understanding the dual formulation for the hedging of path-dependent options with price impact ⋮ Optimal liquidation under stochastic liquidity ⋮ Optimal execution with multiplicative price impact and incomplete information on the return ⋮ Hedging with physical or cash settlement under transient multiplicative price impact ⋮ Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models ⋮ Second-Order Stochastic Target Problems with Generalized Market Impact ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters ⋮ An optimal extraction problem with price impact ⋮ Continuous-time duality for superreplication with transient price impact

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Almost-sure hedging with permanent price impact
• On the closure in the emery topology of semimartingale wealth-process sets
• Drift dependence of optimal trade execution strategies under transient price impact
• Liquidity risk, price impacts and the replication problem
• Option hedging for small investors under liquidity costs
• Martingale proofs of many-server heavy-traffic limits for Markovian queues
• On intertemporal preferences in continuous time. The case of certainty
• Stratonovich stochastic differential equations driven by general semimartingales
• The cumulant process and Esscher's change of measure
• Optimal asset liquidation with multiplicative transient price impact
• Optimal liquidation under stochastic liquidity
• Financial markets with a large trader
• Canonical RDEs and general semimartingales as rough paths
• Liquidity risk and arbitrage pricing theory
• Continuity of a queueing integral representation in the \(M_{1}\) topology
• Minimal entropy preserves the Lévy property: how and why
• Stochastic-Process Limits
• RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY
• Price Dynamics in a Markovian Limit Order Market
• OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR
• Optimal Execution in a General One-Sided Limit-Order Book
• OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
• Modeling and approximation of stochastic differential equations driven by semimartingales^†
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Optimal execution strategies in limit order books with general shape functions
• Optimal Execution with Multiplicative Price Impact
• On the Convergence of Ordinary Integrals to Stochastic Integrals

This page was built for publication: Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies