Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience

DOI10.1137/16M1105463zbMath1386.93307arXiv1611.03435OpenAlexW2562963994MaRDI QIDQ4596852

Paulwin Graewe, Ulrich Horst

Publication date: 11 December 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.03435

zbMATH Keywords

stochastic controlportfolio liquidationsingular terminal valuemultidimensional backward stochastic differential equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Optimal solution of the liquidation problem under execution and price impact risks, Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact, Portfolio liquidation games with self‐exciting order flow, Optimal liquidation under stochastic liquidity, Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint, Optimal portfolio execution under time-varying liquidity constraints, Optimal execution with regime-switching market resilience, Mean-Field Leader-Follower Games with Terminal State Constraint, Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models, \(L^p\) solution of backward stochastic differential equations driven by a marked point process, Multi-dimensional optimal trade execution under stochastic resilience, Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters, A Mean Field Game of Optimal Portfolio Liquidation, On Regularized Optimal Execution Problems and Their Singular Limits, Optimal Execution: A Review

Uses Software

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Cites Work

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