Optimal solution of the liquidation problem under execution and price impact risks

DOI10.1080/14697688.2022.2047219zbMath1489.91286OpenAlexW4220694798MaRDI QIDQ5079391

Francesca Mariani, Lorella Fatone

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2047219

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controlexecution riskliquidation problemprice impact risk

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Optimal trading and competition with information in the price impact model

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