LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY

DOI10.1111/j.1467-9965.2012.00529.xzbMath1314.91247arXiv1105.0247OpenAlexW1915524904MaRDI QIDQ2927944

Michael Ludkovski, Erhan Bayraktar

Publication date: 5 November 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.0247

zbMATH Keywords

controlled intensityfluid limitoptimal control of queueing networkslimit order booksoptimal control of point processes

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

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