OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS (Q3086254)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS |
scientific article |
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OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS (English)
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30 March 2011
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liquidity modelling
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discrete order flow
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optimal investment
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inhomogeneous Poisson process
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dynamic programming
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