A Hamilton-Jacobi-Bellman approach to optimal trade execution

DOI10.1016/j.apnum.2010.10.004zbMath1231.91492OpenAlexW1971952725MaRDI QIDQ617638

Peter A. I. Forsyth

Publication date: 21 January 2011

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2010.10.004

zbMATH Keywords

viscosity solutionHJB equationoptimal executionmean-variance tradeoffsemi-Lagrangian discretization

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)

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