An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection
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Publication:5247617
DOI10.1287/moor.2014.0649zbMath1312.93114arXiv1204.2498OpenAlexW2110921408MaRDI QIDQ5247617
Publication date: 24 April 2015
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.2498
Stochastic models in economics (91B70) Dynamic programming (90C39) Optimal stochastic control (93E20) Portfolio theory (91G10)
Related Items (8)
Portfolio liquidation games with self‐exciting order flow ⋮ Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience ⋮ OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS ⋮ Optimal placement in a limit order book: an analytical approach ⋮ Smooth solutions to portfolio liquidation problems under price-sensitive market impact ⋮ Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint ⋮ A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions ⋮ Portfolio liquidation under factor uncertainty
Cites Work
- A connection between singular stochastic control and optimal stopping
- Curve following in illiquid markets
- Optimal multi-period mean-variance policy under no-shorting constraint
- When to Cross the Spread? Trading in Two-Sided Limit Order Books
- Optimal Basket Liquidation for CARA Investors is Deterministic
- THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
- OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS
- Optimal liquidation in dark pools
- PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME
- Price manipulation in a market impact model with dark pool
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