Drift dependence of optimal trade execution strategies under transient price impact
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Publication:377452
DOI10.1007/s00780-013-0211-xzbMath1278.91065arXiv1204.2716OpenAlexW3123959298MaRDI QIDQ377452
Alexander Schied, Christopher Lorenz
Publication date: 6 November 2013
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.2716
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80)
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