An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection

DOI10.1287/moor.2014.0649zbMath1312.93114arXiv1204.2498OpenAlexW2110921408MaRDI QIDQ5247617

Peter Kratz

Publication date: 24 April 2015

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.2498

zbMATH Keywords

dynamic programmingclosed-form solutionsstochastic controlmathematical financeoptimal liquidation

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Dynamic programming (90C39) Optimal stochastic control (93E20) Portfolio theory (91G10)

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Portfolio liquidation games with self‐exciting order flow ⋮ Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience ⋮ OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS ⋮ Optimal placement in a limit order book: an analytical approach ⋮ Smooth solutions to portfolio liquidation problems under price-sensitive market impact ⋮ Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint ⋮ A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions ⋮ Portfolio liquidation under factor uncertainty

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