Finite horizon optimal execution with bounded rate of transaction
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Publication:5243383
DOI10.1080/15326349.2019.1621760zbMath1430.91102OpenAlexW2947283742MaRDI QIDQ5243383
Publication date: 18 November 2019
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349.2019.1621760
Optimal stochastic control (93E20) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Financial markets (91G15)
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Cites Work
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