Smooth solutions to portfolio liquidation problems under price-sensitive market impact
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Publication:681996
DOI10.1016/j.spa.2017.06.013zbMath1380.93287arXiv1309.0474OpenAlexW2125406222MaRDI QIDQ681996
Éric Séré, Ulrich Horst, Paulwin Graewe
Publication date: 13 February 2018
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.0474
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with control and optimization (35Q93)
Related Items (21)
Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone ⋮ Incorporating order-flow into optimal execution ⋮ A note on costs minimization with stochastic target constraints ⋮ Optimal Trading with Signals and Stochastic Price Impact ⋮ Portfolio liquidation games with self‐exciting order flow ⋮ Optimal liquidation under stochastic liquidity ⋮ Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience ⋮ Continuity problem for singular BSDE with random terminal time ⋮ Backward stochastic differential equations with non-Markovian singular terminal values ⋮ Mean-Field Leader-Follower Games with Terminal State Constraint ⋮ Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models ⋮ Asymptotic approach for backward stochastic differential equation with singular terminal condition ⋮ A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters ⋮ Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting ⋮ Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration ⋮ Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint ⋮ A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions ⋮ A Mean Field Game of Optimal Portfolio Liquidation ⋮ Portfolio liquidation under factor uncertainty ⋮ On Regularized Optimal Execution Problems and Their Singular Limits
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