scientific article; zbMATH DE number 7368333
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Publication:4999199
zbMath1466.91278MaRDI QIDQ4999199
Hong-Kun Xu, Chunye Li, Baojun Bian, Shuntai Hu
Publication date: 6 July 2021
Full work available at URL: http://www.yokohamapublishers.jp/online-p/JNCA/vol17/jncav17n5p1031.pdf
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bellman equationviscosity solutionoptimal stochastic controloptimal stock liquidationstochastic market impact
Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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