OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (Q5262522): Difference between revisions

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+https://doi.org/10.1111/mafi.12048
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+W1921068018
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+Optimal Trading with Stochastic Liquidity and Volatility
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+Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
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+Dam rain and cumulative gain
@@ Property / cites work: Dam rain and cumulative gain / rank @@
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+A parallel between Brownian bridges and gamma bridges
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+Q5729629
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+No-dynamic-arbitrage and market impact
@@ Property / cites work: No-dynamic-arbitrage and market impact / rank @@
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+OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
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+A Characterization of the Gamma Distribution
@@ Property / cites work: A Characterization of the Gamma Distribution / rank @@
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+A PROBABILITY THEORY OF A DAM WITH A CONTINUOUS RELEASE
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+Publication:5262522