A discrete-time optimal execution problem with market prices subject to random environments (Q6081612)
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scientific article; zbMATH DE number 7755354
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A discrete-time optimal execution problem with market prices subject to random environments |
scientific article; zbMATH DE number 7755354 |
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A discrete-time optimal execution problem with market prices subject to random environments (English)
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26 October 2023
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optimal execution problems
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price impacts
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random walks
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random environment
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dynamic programming
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