Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
DOI10.1007/s00780-024-00537-1zbMATH Open1542.91368MaRDI QIDQ6565561
Thomas Kruse, Mikhail A. Urusov, Julia Ackermann
Publication date: 2 July 2024
Published in: Finance and Stochastics (Search for Journal in Brave)
backward stochastic differential equationoptimal trade executionlinear-quadratic stochastic controlstochastic resiliencecontinuous extension of cost functionalfinite-variation stochastic controlprogressively measurable execution strategystochastic price impact
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Financial markets (91G15)
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