Stochastic maximum principle for optimal liquidation with control-dependent terminal time
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Publication:2674442
DOI10.1007/s00245-022-09848-1zbMath1498.49043arXiv2107.08489OpenAlexW3184456443MaRDI QIDQ2674442
Publication date: 12 September 2022
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.08489
stochastic maximum principlevariational analysisoptimal liquidationbackwards stochastic differential equationscontrol-dependent terminal time
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)
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