Execution shortfall algorithms under regime switching

DOI10.1137/1.9781611976847.7zbMATH Open1545.91298MaRDI QIDQ6567491FDOQ6567491

Authors: Moustapha Pemy 

Publication date: 5 July 2024

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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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