Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
type: Item
instance of: scholarly article
title: Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
zbMATH Open document ID: 1021.91022
DOI: 10.1137/S1052623401392901
published in: SIAM Journal on Optimization
publication date: 2003-01-05T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 1848695
zbMATH Keywords: geometric Brownian motion
zbMATH Keywords: regime change
zbMATH Keywords: stochastic optimization
zbMATH Keywords: recursive algorithm
author: G. Yin
author: Ruihua Liu
author: Q. Zhang
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1848695