Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (Q5071495)
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scientific article; zbMATH DE number 7511194
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics |
scientific article; zbMATH DE number 7511194 |
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Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (English)
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21 April 2022
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optimal execution
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statistical arbitrage
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stochastic optimal control
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Riccati equations
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