Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods
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Publication:681935
DOI10.1007/s00245-016-9359-zzbMath1410.91495OpenAlexW2343559107MaRDI QIDQ681935
Caojin Zhang, Qing Zhang, Xianggang Lu, George Yin, Xianping Guo
Publication date: 13 February 2018
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-016-9359-z
Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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