Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models (Q2238774)
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scientific article; zbMATH DE number 7418783
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| English | Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models |
scientific article; zbMATH DE number 7418783 |
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Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models (English)
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2 November 2021
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optimal trade execution
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continuous-time stochastic optimal control
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limit order book
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stochastic order book depth
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stochastic resilience
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quadratic BSDE
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infinite-variation execution strategy
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semimartingale execution strategy
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0.901556134223938
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0.8644095659255981
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0.8499607443809509
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0.8404754996299744
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0.838881254196167
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