Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience (Q4596852)
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scientific article; zbMATH DE number 6817038
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience |
scientific article; zbMATH DE number 6817038 |
Statements
Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience (English)
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11 December 2017
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stochastic control
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multidimensional backward stochastic differential equation
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portfolio liquidation
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singular terminal value
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