On Regularized Optimal Execution Problems and Their Singular Limits

DOI10.1080/1350486X.2022.2148115MaRDI QIDQ5879351

Max O. Souza, Y. Thamsten

Publication date: 28 February 2023

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.02731

zbMATH Keywords

stochastic volatilityviscosity solutionsoptimal executionilliquid marketsstochastic liquidity

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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