Optimizing Execution Cost Using Stochastic Control

DOI10.1007/978-3-030-11364-3_4zbMath1422.91796arXiv1909.10762OpenAlexW2741456592MaRDI QIDQ5227353

Diganta Mukherjee, Akshay Bansal

Publication date: 26 July 2019

Published in: New Economic Windows (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.10762

zbMATH Keywords

cost functionstock pricesoptimal stochastic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Actuarial science and mathematical finance (91G99)

Cites Work

• Unnamed Item
• Dynamic programming and stochastic control
• An Automatic Method of Solving Discrete Programming Problems
• Optimal order placement in limit order markets

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