Optimal Portfolio Liquidation with Limit Orders
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Publication:4902233
DOI10.1137/110850475zbMath1262.91160arXiv1106.3279OpenAlexW2148176228MaRDI QIDQ4902233
Charles-Albert Lehalle, Joaquin Fernandez-Tapia, Olivier Guéant
Publication date: 25 January 2013
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1106.3279
Optimal stochastic control (93E20) Existence theories for optimal control problems involving partial differential equations (49J20) Portfolio theory (91G10) Hamilton-Jacobi equations (35F21)
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