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The following pages link to A Hamilton-Jacobi-Bellman approach to optimal trade execution (Q617638):

Displaying 19 items.

Optimal trade execution: a mean quadratic variation approach (Q318882) (← links)
An optimal execution problem with market impact (Q457189) (← links)
Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions (Q1681457) (← links)
Option pricing for a large trader with price impact and liquidity costs (Q1684699) (← links)
Optimal trade execution under jump diffusion process: a mean-VaR approach (Q1727117) (← links)
Optimal execution with regime-switching market resilience (Q1734569) (← links)
A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables (Q1997321) (← links)
Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization (Q2219642) (← links)
Regularized robust optimization: the optimal portfolio execution case (Q2376119) (← links)
Convergence of the embedded mean-variance optimal points with discrete sampling (Q2634609) (← links)
Mean–Variance Optimal Adaptive Execution (Q2889596) (← links)
MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY (Q3191840) (← links)
Optimal execution with uncertain order fills in Almgren–Chriss framework (Q4555058) (← links)
Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies (Q4584996) (← links)
Optimal Trade Execution Under Stochastic Volatility and Liquidity (Q4586036) (← links)
Optimal Execution and Block Trade Pricing: A General Framework (Q4682484) (← links)
OPTIMAL EXECUTION HORIZON (Q5262523) (← links)
Do price trajectory data increase the efficiency of market impact estimation? (Q6587733) (← links)
Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping (Q6662399) (← links)