Optimal Trading with Stochastic Liquidity and Volatility
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Publication:4902209
DOI10.1137/090763470zbMath1256.49031OpenAlexW2049449780MaRDI QIDQ4902209
Publication date: 25 January 2013
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/645970379d37d51594abc25b32261257dad12450
Dynamic programming in optimal control and differential games (49L20) PDEs in connection with control and optimization (35Q93)
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