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)

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Cites Work

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