On the minimizers of energy forms with completely monotone kernel

DOI10.1007/S00245-018-9516-7MaRDI QIDQ2019989zbMATH OpenOpenAlexWikidataFDO

Authors Elias Strehle, Alexander Schied

Publication date 22 April 2021

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.04844

zbMATH Keywords

optimal portfolio liquidationFredholm integral equation of second kindenergy formcapacitary measuresymmetrically totally monotone function

Mathematics Subject Classification ID

Regularity of solutions in optimal control (49N60) Convexity of real functions in one variable, generalizations (26A51) Potentials and capacities on other spaces (31C15) Optimality conditions for problems involving relations other than differential equations (49K21) Financial applications of other theories (91G80) Monotonic functions, generalizations (26A48) Real-analytic functions (26E05) Fredholm integral equations (45B05)

Abstract: Motivated by the problem of optimal portfolio liquidation under transient price impact, we study the minimization of energy functionals with completely monotone displacement kernel under an integral constraint. The corresponding minimizers can be characterized by Fredholm integral equations of the second type with constant free term. Our main result states that minimizers are analytic and have a power series development in terms of even powers of the distance to the midpoint of the domain of definition and with nonnegative coefficients. We show moreover that our minimization problem is equivalent to the minimization of the energy functional under a nonnegativity constraint.

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• Capacitary measures for completely monotone kernels via singular control

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