Optimal Liquidation by a Large Investor

DOI10.1137/050643714zbMath1151.91054OpenAlexW3125808253MaRDI QIDQ3520290

Ajay Subramanian

Publication date: 18 August 2008

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/050643714

zbMATH Keywords

stochastic controldualityliquidationlarge investors

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Portfolio theory (91G10)

Related Items (1)

Nonparametric Estimation for FBSDEs Models with Applications in Finance

This page was built for publication: Optimal Liquidation by a Large Investor