Optimal liquidation with dynamic parameter updating: a forward approach
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Publication:6586873
DOI10.3934/puqr.2024012zbMATH Open1542.91385MaRDI QIDQ6586873
Thaleia Zariphopoulou, Haoran Wang
Publication date: 13 August 2024
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
optimal liquidationtime consistencyexpected utility modelbackward approachforward approachdynamic parameter updatingfull liquidation
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial markets (91G15)
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