Optimal liquidation with dynamic parameter updating: a forward approach

DOI10.3934/PUQR.2024012zbMATH Open1542.91385MaRDI QIDQ6586873FDOQ6586873

Authors: Haoran Wang, Thaleia Zariphopoulou 

Publication date: 13 August 2024

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

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zbMATH Keywords

optimal liquidationtime consistencyexpected utility modelbackward approachforward approachdynamic parameter updatingfull liquidation

Mathematics Subject Classification ID

Financial markets (91G15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cites Work

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