An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection

DOI10.1287/moor.2014.0649zbMath1312.93114arXiv1204.2498MaRDI QIDQ5247617

Peter Kratz

Publication date: 24 April 2015

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.2498

zbMATH Keywords

dynamic programming; closed-form solutions; stochastic control; mathematical finance; optimal liquidation

Mathematics Subject Classification ID

91B70: Stochastic models in economics

90C39: Dynamic programming

93E20: Optimal stochastic control

91G10: Portfolio theory

Related Items

Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience, OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS, A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions, Portfolio liquidation games with self‐exciting order flow, Optimal placement in a limit order book: an analytical approach, Smooth solutions to portfolio liquidation problems under price-sensitive market impact, Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint, Portfolio liquidation under factor uncertainty

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