Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions (Q1681457)

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Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
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    Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions (English)
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    23 November 2017
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    optimal liquidation
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    price impact
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    square-root law
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    singular boundary value problem
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    stochastic optimal control
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