An optimal execution problem with market impact

DOI10.1007/s00780-014-0232-0zbMath1403.91344arXiv0907.3282OpenAlexW3121867036MaRDI QIDQ457189

Takashi Kato

Publication date: 26 September 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.3282

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionsoptimal executionmarket impactliquidity problems

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (2)

On a class of singular stochastic control problems driven by Lévy noise ⋮ VWAP execution as an optimal strategy

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