Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods

DOI10.1007/S00245-016-9359-ZzbMATH Open1410.91495OpenAlexW2343559107MaRDI QIDQ681935FDOQ681935

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

Publication date: 13 February 2018

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-016-9359-z

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zbMATH Keywords

numerical methodLagrange multiplierconstrained stochastic control

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited In (3)

• A constrained stochastic control problem with application to an illiquid stock position build-up
• Constrained optimality for controlled switching diffusions with an application to stock purchasing
• Block trading: building up a stock position under a regime switching model

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