Dynamic equilibrium limit order book model and optimal execution problem
From MaRDI portal
Publication:2356562
DOI10.3934/mcrf.2015.5.557zbMath1336.91052arXiv1401.4636OpenAlexW2962760336MaRDI QIDQ2356562
Jin Ma, Jianfeng Zhang, Xin-Yang Wang
Publication date: 30 July 2015
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1401.4636
viscosity solutionverification theoremoptimal executiondynamic programming principleliquidity risklimit order book
Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Dynamic stochastic general equilibrium theory (91B51)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Liquidity risk and arbitrage pricing theory
- Dual formulation of second order target problems
- Controlled Markov processes and viscosity solutions
- Optimal Execution in a General One-Sided Limit-Order Book
- OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
- High-frequency trading in a limit order book
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- User’s guide to viscosity solutions of second order partial differential equations
- Empirical Analysis of Limit Order Markets
- Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
- TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
- Optimal execution strategies in limit order books with general shape functions
