Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods (Q681935)
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scientific article; zbMATH DE number 6837689
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| English | Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods |
scientific article; zbMATH DE number 6837689 |
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Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods (English)
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13 February 2018
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constrained stochastic control
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Lagrange multiplier
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numerical method
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0.7715789079666138
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0.7643817663192749
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0.7639397978782654
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0.7597811222076416
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