Optimal execution with multiplicative price impact and incomplete information on the return
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Publication:6111009
DOI10.1007/s00780-023-00508-yzbMath1520.91366arXiv2202.10414MaRDI QIDQ6111009
Felix Dammann, Giorgio Ferrari
Publication date: 6 July 2023
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2202.10414
optimal stoppingsingular stochastic controlpartial observationmultiplicative price impactoptimal execution problem
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)
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