Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function

DOI10.1142/9789814571647_0005zbMath1314.91197arXiv1301.6485OpenAlexW2049777742MaRDI QIDQ5256601

Takashi Kato, Kensuke Ishitani

Publication date: 19 June 2015

Published in: Recent Advances in Financial Engineering 2012 (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.6485

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionLévy processmarket liquidityoptimal executionuncertain market impact

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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