Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods
type: Item
instance of: scholarly article
title: Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods
zbMATH Open document ID: 1410.91495
author: Xianggang Lu
author: George Yin
author: Q. Zhang
author: Caojin Zhang
author: Xianping Guo
published in: Applied Mathematics and Optimization
publication date: 2018-02-13T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 6837689
zbMATH Keywords: constrained stochastic control
zbMATH Keywords: Lagrange multiplier
zbMATH Keywords: numerical method
MaRDI profile type: Publication
full work available at URL: s00245-016-9359-z
OpenAlex ID: W2343559107
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DOI: 10.1007/S00245-016-9359-Z
description: scientific article; zbMATH DE number 6837689