Optimal execution considering trading signal and execution risk simultaneously

DOI10.1155/2021/5514413MaRDI QIDQ6484196zbMATH OpenFDO

Authors Yuan Cheng, Lan Wu

Publication date 24 January 2022

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2021/5514413

Mathematics Subject Classification ID

Hamilton-Jacobi equations in optimal control and differential games (49L12) Interest rates, asset pricing, etc. (stochastic models) (91G30) Feedback control (93B52) Optimal stochastic control (93E20)

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