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

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Publication:316889

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




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