Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies

DOI10.1007/s00780-024-00536-2zbMath1545.91294MaRDI QIDQ6565560

Ulrich Horst, Evgueni Kivman

Publication date: 2 July 2024

Published in: Finance and Stochastics (Search for Journal in Brave)

zbMATH Keywords

singular controlportfolio liquidationstochastic liquiditysingular BSDE

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial markets (91G15)

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