Execution shortfall algorithms under regime switching

DOI10.1137/1.9781611976847.7MaRDI QIDQ6567491zbMATHFDO

Authors Moustapha Pemy

Publication date 5 July 2024

zbMATH Keywords

regime switchingalgorithmic tradingdiscrete-time stochastic optimal controlexecution shortfall

Mathematics Subject Classification ID

Financial markets (91G15) Optimal stochastic control (93E20)

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