Curve following in illiquid markets
From MaRDI portal
Publication:1932555
DOI10.1007/s11579-011-0042-5zbMath1255.91451MaRDI QIDQ1932555
Felix Naujokat, Nicholas Westray
Publication date: 20 January 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-011-0042-5
stochastic maximum principle; convex analysis; C61; C02; fully coupled forward backward stochastic differential equations; trading in illiquid markets
91B24: Microeconomic theory (price theory and economic markets)
93E20: Optimal stochastic control
91G80: Financial applications of other theories
49K45: Optimality conditions for problems involving randomness
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