Optimal Execution in a General One-Sided Limit-Order Book
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Publication:2996522
DOI10.1137/10078534XzbMath1222.91062MaRDI QIDQ2996522
Gennady Shaikhet, Silviu Predoiu, Steven E. Shreve
Publication date: 2 May 2011
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Convex programming (90C25) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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