Multi-dimensional optimal trade execution under stochastic resilience

DOI10.1007/s00780-019-00394-3zbMath1432.91103arXiv1804.03896OpenAlexW2963805004WikidataQ127761387 ScholiaQ127761387MaRDI QIDQ2274225

Ulrich Horst, Xiaonyu Xia

Publication date: 19 September 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.03896

zbMATH Keywords

stochastic controlsingular terminal valuemulti-dimensional backward stochastic Riccati differential equationsmulti-dimensional portfolio liquidation problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)

Related Items (4)

Portfolio liquidation games with self‐exciting order flow ⋮ Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters ⋮ Optimal Execution: A Review

Uses Software

• bvpsuite

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