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Revision as of 01:28, 21 February 2024
scientific article
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English | A Hamilton-Jacobi-Bellman approach to optimal trade execution |
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A Hamilton-Jacobi-Bellman approach to optimal trade execution (English)
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21 January 2011
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optimal execution
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mean-variance tradeoff
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HJB equation
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semi-Lagrangian discretization
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viscosity solution
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