Curve following in illiquid markets (Q1932555)

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Curve following in illiquid markets
scientific article

    Statements

    title
    Curve following in illiquid markets (English)
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    author
    Felix Naujokat
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    Nicholas Westray
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    publication date
    20 January 2013
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    zbMATH Keywords
    stochastic maximum principle
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    convex analysis
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    fully coupled forward backward stochastic differential equations
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    trading in illiquid markets
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    C02
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    C61
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    Identifiers

    Mathematics Subject Classification ID
    91G80
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    93E20
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    49K45
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    91B24
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    zbMATH DE Number
    6127195
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