Curve following in illiquid markets

DOI10.1007/s11579-011-0042-5zbMath1255.91451MaRDI QIDQ1932555

Felix Naujokat, Nicholas Westray

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-011-0042-5

zbMATH Keywords

stochastic maximum principle; convex analysis; C61; C02; fully coupled forward backward stochastic differential equations; trading in illiquid markets

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

93E20: Optimal stochastic control

91G80: Financial applications of other theories

49K45: Optimality conditions for problems involving randomness

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