Optimal solution of the liquidation problem under execution and price impact risks (Q5079391)
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scientific article; zbMATH DE number 7532626
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal solution of the liquidation problem under execution and price impact risks |
scientific article; zbMATH DE number 7532626 |
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Optimal solution of the liquidation problem under execution and price impact risks (English)
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27 May 2022
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liquidation problem
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stochastic optimal control
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execution risk
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price impact risk
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Hamilton-Jacobi-Bellman equation
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