An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection
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Publication:5247617
DOI10.1287/moor.2014.0649zbMath1312.93114arXiv1204.2498MaRDI QIDQ5247617
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
dynamic programming; closed-form solutions; stochastic control; mathematical finance; optimal liquidation
91B70: Stochastic models in economics
90C39: Dynamic programming
93E20: Optimal stochastic control
91G10: Portfolio theory
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