Optimal liquidation under partial information with price impact

DOI10.1016/j.spa.2019.06.004zbMath1444.91196arXiv1606.05079MaRDI QIDQ1986008

Michaela Szölgyenyi, Rüdiger Frey, Zehra Eksi, Katia Colaneri

Publication date: 7 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.05079

zbMATH Keywords

optimal liquidation; stochastic filtering; piecewise deterministic Markov process; viscosity solutions and comparison principle

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

91G10: Portfolio theory