Pages that link to "Item:Q1936827"
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The following pages link to Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation (Q1936827):
Displaying 7 items.
- Optimal control versus stochastic target problems: an equivalence result (Q414574) (← links)
- A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options (Q1630416) (← links)
- A Stochastic Target Approach for P&L Matching Problems (Q2925345) (← links)
- PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME (Q5262511) (← links)
- OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (Q5262522) (← links)
- Optimal stopping with expectation constraints (Q6126790) (← links)
- Stochastic control/stopping problem with expectation constraints (Q6615478) (← links)
