Optimal liquidation under partial information with price impact

DOI10.1016/j.spa.2019.06.004zbMath1444.91196arXiv1606.05079OpenAlexW2952128494WikidataQ127645269 ScholiaQ127645269MaRDI QIDQ1986008

Rüdiger Frey, Katia Colaneri, Michaela Szölgyenyi, Zehra Eksi

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 liquidationstochastic filteringpiecewise deterministic Markov processviscosity solutions and comparison principle

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)

Related Items (9)

Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics ⋮ Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds ⋮ Optimal execution with multiplicative price impact and incomplete information on the return ⋮ Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ Approximation methods for piecewise deterministic Markov processes and their costs ⋮ Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information ⋮ Trading strategy with stochastic volatility in a limit order book market ⋮ Optimal Execution: A Review

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Markov decision processes with applications to finance.
• Fundamentals of stochastic filtering
• Dynamic trading policies with price impact
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• MDP algorithms for portfolio optimization problems in pure jump markets
• Point processes and queues. Martingale dynamics
• Viscosity solutions of Hamilton-Jacobi equations
• EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
• Controlled Markov processes and viscosity solutions
• A Dynamic Programming Algorithm for the Optimal Control of Piecewise Deterministic Markov Processes
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Average Continuous Control of Piecewise Deterministic Markov Processes
• Nonlinear Filtering for Jump Diffusion Observations
• No Arbitrage and General Semimartingales
• Modelling Asset Prices for Algorithmic and High-Frequency Trading
• Optimal Liquidity-Based Trading Tactics
• Trading algorithms with learning in latent alpha models
• Optimal Execution with Multiplicative Price Impact
• Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach

This page was built for publication: Optimal liquidation under partial information with price impact