Optimal Control of Trading Algorithms: A General Impulse Control Approach

DOI10.1137/090777293zbMath1220.91030OpenAlexW2092249569MaRDI QIDQ3006714

Bruno Bouchard, Ngoc Minh Dang, Charles-Albert Lehalle

Publication date: 21 June 2011

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090777293

zbMATH Keywords

discontinuous viscosity solutionsoptimal impulse controlintraday trading

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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