Optimal liquidation with dynamic parameter updating: a forward approach

DOI10.3934/PUQR.2024012MaRDI QIDQ6586873zbMATH OpenFDO

Authors Haoran Wang, Thaleia Zariphopoulou

Publication date 13 August 2024

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

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)

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