DOI10.3233/RDA-160118zbMath1409.91292arXiv1607.00454MaRDI QIDQ3119644
Saran Ahuja, Tzu-Wei Yang, Weiluo Ren, George S. Papanicolaou
Publication date: 12 March 2019 Published in: Risk and Decision Analysis (Search for Journal in Brave) Full work available at URL: https://arxiv.org/abs/1607.00454
zbMATH Keywords
stochastic optimal control; optimal execution; limit order trading; mean reverting prices
Mathematics Subject Classification ID
93E20: Optimal stochastic control
91G99: Actuarial science and mathematical finance