The Deterministic Optimal Liquidation Problem

DOI10.1007/978-3-319-75169-6_13zbMath1416.91408OpenAlexW2805294387MaRDI QIDQ4690913

Pavol Brunovský, Margaréta Halická, Mario Mitas

Publication date: 23 October 2018

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-75169-6_13

zbMATH Keywords

mathematical financefree terminal time optimal control

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Financial applications of other theories (91G80)

Cites Work

• Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
• A singular differential equation stemming from an optimal control problem in financial economics
• Anticipation effects of technological progress on capital accumulation: a vintage capital approach
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