On Regularized Optimal Execution Problems and Their Singular Limits
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Cites work
- A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions
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- Elliptic and parabolic equations
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Cited in
(13)- Explicit solution for constrained optimal execution problem with general correlated market depth
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- On regularized optimal execution problems and their singular limits
- Numerical analysis of an extended mean field game for harvesting common fishery resource
- Macroscopic market making games
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