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
@@ Property / OpenAlex ID: W1921068018 / rank @@
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@@ Property / cites work @@
+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
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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
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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
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+A PROBABILITY THEORY OF A DAM WITH A CONTINUOUS RELEASE
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