Optimal order execution using hidden orders
From MaRDI portal
Publication:1624483
DOI10.1016/j.jedc.2018.07.006zbMath1402.91941WikidataQ57445387 ScholiaQ57445387MaRDI QIDQ1624483
Publication date: 16 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2018.07.006
90C39: Dynamic programming
93E20: Optimal stochastic control
91G80: Financial applications of other theories