Selling a large stock position: a stochastic control approach with state constraints

DOI10.4310/CIS.2007.v7.n1.a5zbMath1140.91406OpenAlexW2073307026MaRDI QIDQ937354

Moustapha Pemy, Qing Zhang, G. George Yin

Publication date: 14 August 2008

Published in: Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.cis/1184963899

zbMATH Keywords

optimal controlstate constraintselling rule

Mathematics Subject Classification ID

Related Items (1)

Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization

This page was built for publication: Selling a large stock position: a stochastic control approach with state constraints