PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME

DOI10.1111/mafi.12037zbMath1331.91168arXiv1201.6130OpenAlexW2324041629MaRDI QIDQ5262511

Torsten Schöneborn, Peter Kratz

Publication date: 15 July 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.6130

zbMATH Keywords

stochastic controlmarket microstructureoptimal liquidationsingular boundary conditionilliquid marketsdark pools

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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