LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
From MaRDI portal
Publication:2927944
DOI10.1111/j.1467-9965.2012.00529.xzbMath1314.91247arXiv1105.0247MaRDI QIDQ2927944
Michael Ludkovski, Erhan Bayraktar
Publication date: 5 November 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.0247
controlled intensity; fluid limit; optimal control of queueing networks; limit order books; optimal control of point processes
90B22: Queues and service in operations research
91B24: Microeconomic theory (price theory and economic markets)
93E20: Optimal stochastic control
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
91B26: Auctions, bargaining, bidding and selling, and other market models
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