Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics
DOI10.1137/21M1407756zbMath1486.49026arXiv2103.13773OpenAlexW3135974852MaRDI QIDQ5071495
Fayçal Drissi, Philippe Bergault, Olivier Guéant
Publication date: 21 April 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.13773
Optimal stochastic control (93E20) Existence theories for optimal control problems involving ordinary differential equations (49J15) Existence theories for optimal control problems involving partial differential equations (49J20) Existence of optimal solutions to problems involving randomness (49J55)
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