Finite horizon optimal execution with bounded rate of transaction (Q5243383)
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scientific article; zbMATH DE number 7130987
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Finite horizon optimal execution with bounded rate of transaction |
scientific article; zbMATH DE number 7130987 |
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Finite horizon optimal execution with bounded rate of transaction (English)
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18 November 2019
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constrained price impact
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optimal order execution
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stochastic bang-bang control: HJB equation
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