Optimal decision for selling an illiquid stock
DOI10.1007/S10957-011-9897-0zbMATH Open1251.93017OpenAlexW2073792327MaRDI QIDQ658561FDOQ658561
Min Dai, Baojun Bian, Q. Zhang, Lishang Jiang, Yifei Zhong
Publication date: 12 January 2012
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-011-9897-0
Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20)
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Cited In (6)
- Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing
- An optimal switching approach toward cost-effective control of a stand-alone photovoltaic panel system under stochastic environment
- OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
- A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity
- Whether to sell or hold a stock
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