An optimal execution problem with market impact
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Publication:457189
DOI10.1007/s00780-014-0232-0zbMath1403.91344arXiv0907.3282OpenAlexW3121867036MaRDI QIDQ457189
Publication date: 26 September 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0907.3282
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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On a class of singular stochastic control problems driven by Lévy noise ⋮ VWAP execution as an optimal strategy
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