Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
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- Asymptotic stability of nonlinear hybrid stochastic systems driven by linear discrete time noises
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- Stabilization of nonlinear hybrid stochastic delay systems by feedback control based on discrete-time state and mode observations
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- On the stability of jump-diffusions with Markovian switching
- Optimal security liquidation algorithms
- Liquidation of a large block of stock with regime switching
- Asset liquidation under drift uncertainty and regime-switching volatility
- Stabilization and destabilization of hybrid systems by periodic stochastic controls
- Stochastic optimization algorithms for barrier dividend strategies
- Some results on almost sure stability of non-autonomous stochastic differential equations with Markovian switching
- Using stochastic optimization methods for stock selling decision making and option pricing: numerics and bias and variance dependent convergence rates
- Discrete-time feedback control for highly nonlinear hybrid stochastic systems with non-differentiable delays
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- Moment exponential stability analysis of Markovian jump stochastic differential equations with uncertain transition jump rates
- A stochastic approximation algorithm for option pricing model calibration with a switchable market
- Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods
- Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies
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