Optimal trade execution with instantaneous price impact and stochastic resilience (Q4596852)
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scientific article; zbMATH DE number 6817038
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| English | Optimal trade execution with instantaneous price impact and stochastic resilience |
scientific article; zbMATH DE number 6817038 |
Statements
Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience (English)
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11 December 2017
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stochastic control
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multidimensional backward stochastic differential equation
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portfolio liquidation
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singular terminal value
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0.8949581384658813
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0.8746252655982971
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0.8713681101799011
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0.855830729007721
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0.851383626461029
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