A Hamilton-Jacobi-Bellman approach to optimal trade execution

DOI10.1016/J.APNUM.2010.10.004zbMath1231.91492OpenAlexW1971952725MaRDI QIDQ617638

Peter A. I. Forsyth

Publication date: 21 January 2011

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2010.10.004

zbMATH Keywords

viscosity solutionHJB equationoptimal executionmean-variance tradeoffsemi-Lagrangian discretization

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)

Related Items (19)

Mean–Variance Optimal Adaptive Execution ⋮ Regularized robust optimization: the optimal portfolio execution case ⋮ Convergence of the embedded mean-variance optimal points with discrete sampling ⋮ Optimal trade execution: a mean quadratic variation approach ⋮ Optimal execution with uncertain order fills in Almgren–Chriss framework ⋮ MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY ⋮ Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions ⋮ Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies ⋮ Optimal Trade Execution Under Stochastic Volatility and Liquidity ⋮ Option pricing for a large trader with price impact and liquidity costs ⋮ An optimal execution problem with market impact ⋮ Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization ⋮ Optimal trade execution under jump diffusion process: a mean-VaR approach ⋮ Optimal execution with regime-switching market resilience ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Optimal Execution and Block Trade Pricing: A General Framework ⋮ Do price trajectory data increase the efficiency of market impact estimation? ⋮ Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping ⋮ OPTIMAL EXECUTION HORIZON

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