Capacitary Measures for Completely Monotone Kernels via Singular Control

DOI10.1137/120862223zbMath1268.49001arXiv1201.2756OpenAlexW3124768227MaRDI QIDQ2840157

Aurélien Alfonsi, Alexander Schied

Publication date: 17 July 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.2756

zbMATH Keywords

singular controloptimal trade executiontransient price impactverification argumentcapacity theoryoptimal order executioninfinite-dimensional Riccati differential equation

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Nonlinear differential equations in abstract spaces (34G20) Financial applications of other theories (91G80) Existence theories for optimal control problems involving ordinary differential equations (49J15) Potentials and capacities on other spaces (31C15) Optimality conditions for problems involving ordinary differential equations (49K15)

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