Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience (Q4596852): Difference between revisions

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+BSDEs with Singular Terminal Condition and a Control Problem with Constraints
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+Optimal position targeting with stochastic linear-quadratic costs
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+Optimal liquidation under stochastic liquidity
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+OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY
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+Optimal trade execution in order books with stochastic liquidity
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+OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
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+A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
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+Smooth solutions to portfolio liquidation problems under price-sensitive market impact
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+When to Cross the Spread? Trading in Two-Sided Limit Order Books
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+On the comparison theorem for multidimensional BSDEs
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+An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection
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+Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
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+Stochastic differential equations, backward SDEs, partial differential equations
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+Stochastic Hamilton–Jacobi–Bellman Equations
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+A control problem with fuel constraint and Dawson-Watanabe superprocesses
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+Multi-dimensional reflected backward stochastic differential equations and the comparison theorem
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+MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL <i>g</i>‐EXPECTATION
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