Utility maximization in an illiquid market in continuous time (Q343809)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Utility maximization in an illiquid market in continuous time |
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Utility maximization in an illiquid market in continuous time (English)
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29 November 2016
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liquidity risk
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price impact
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weak dynamic programming
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Hamilton-Jacobi-Bellman equation
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viscosity solution
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comparison theorem
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