Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
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Publication:2238774
DOI10.1007/s00780-021-00464-5zbMath1476.91166arXiv2006.05863OpenAlexW3199514388MaRDI QIDQ2238774
Thomas Kruse, Julia Ackermann, Mikhail A. Urusov
Publication date: 2 November 2021
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.05863
limit order bookoptimal trade executionquadratic BSDEcontinuous-time stochastic optimal controlinfinite-variation execution strategysemimartingale execution strategystochastic order book depthstochastic resilience
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic processes (60G99) Financial markets (91G15)
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