A constrained stochastic control problem with application to an illiquid stock position build-up

DOI10.1137/1.9781611975024.2MaRDI QIDQ6567497zbMATH OpenFDO

Authors Xianggang Lu, George Yin, Q. Zhang, Caojin Zhang, Xianping Guo

Publication date 5 July 2024

Full work available at URL https://doi.org/10.1137/1.9781611975024.2

zbMATH Keywords

constrained stochastic controlLagrange multipliernumerical method

Mathematics Subject Classification ID

Financial markets (91G15) Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20)

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