Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach

DOI10.1137/S1052623401392901zbMath1021.91022MaRDI QIDQ4785879

Ruihua Liu, Qing Zhang, G. George Yin

Publication date: 5 January 2003

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

zbMATH Keywords

stochastic optimization; recursive algorithm; geometric Brownian motion; regime change

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

90C15: Stochastic programming

91G20: Derivative securities (option pricing, hedging, etc.)

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