Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact

DOI10.3934/DCDSB.2016002zbMath1345.93163arXiv1212.3145OpenAlexW1564961682MaRDI QIDQ316889

Baojun Bian, Nan Wu, Harry Zheng

Publication date: 30 September 2016

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.3145

zbMATH Keywords

viscosity solutionregime switchingoptimal liquidationpermanent and temporary pricing impact

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Dynamic programming (90C39) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Viscosity solutions to PDEs (35D40)

Related Items (3)

Regular finite fuel stochastic control problems with exit time ⋮ Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms ⋮ Optimal selling strategies under regime-switching market environment with finite expiry

Cites Work

• Continuous-time stochastic control and optimization with financial applications
• Price functionals with bid-ask spreads: An axiomatic approach
• Liquidity risk and arbitrage pricing theory
• Hedging options for a large investor and forward-backward SDE's
• Controlled Markov processes and viscosity solutions
• Optimal stock liquidation in a regime switching model with finite time horizon
• LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING
• Investment/Consumption Problem in Illiquid Markets with Regime-Switching
• Two approximations of solutions of Hamilton-Jacobi equations
• User’s guide to viscosity solutions of second order partial differential equations
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Stochastic Differential Equations with Markovian Switching

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