Optimal market dealing under constraints (Q2401520)

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Optimal market dealing under constraints
scientific article

    Statements

    title
    Optimal market dealing under constraints (English)
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    author
    Etienne Chevalier
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    Vathana Ly Vath
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    Mohammed Mnif
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    publication date
    1 September 2017
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    zbMATH Keywords
    stochastic control
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    viscosity solutions
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    market maker
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    inventory constraints
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    Identifiers

    Mathematics Subject Classification ID
    91G80
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    91B24
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    60G40
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    93E20
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    49L25
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    zbMATH DE Number
    6768807
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