A discrete-time optimal execution problem with market prices subject to random environments

DOI10.1007/S11750-022-00652-2zbMath1527.91160OpenAlexW4318426336MaRDI QIDQ6081612

Héctor Jasso-Fuentes, Gladys D. Salgado-Suárez, Carlos G. Pacheco-González

Publication date: 26 October 2023

Published in: Top (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11750-022-00652-2

zbMATH Keywords

dynamic programmingrandom walksrandom environmentprice impactsoptimal execution problems

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Dynamic programming (90C39) Processes in random environments (60K37) Financial markets (91G15)

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