Optimal portfolio liquidation in target zone models and catalytic superprocesses

DOI10.1007/s00780-015-0280-0zbMath1342.60151arXiv1504.06031OpenAlexW1766887382MaRDI QIDQ287674

Eyal Neuman, Alexander Schied

Publication date: 23 May 2016

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

Full work available at URL: https://arxiv.org/abs/1504.06031

zbMATH Keywords

optimal stochastic controlcatalytic superprocesscritical branching particle systemsmarket impactoptimal portfolio liquidationtarget zone models

Mathematics Subject Classification ID

Applications of branching processes (60J85) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stochastic integral equations (60H20) Superprocesses (60J68)

Related Items (6)

A central bank strategy for defending a currency peg ⋮ Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone ⋮ Price impact on term structure ⋮ Protecting pegged currency markets from speculative investors ⋮ Arbitrage problems with reflected geometric Brownian motion ⋮ Incorporating signals into optimal trading

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