The deterministic optimal liquidation problem

DOI10.1007/978-3-319-75169-6_13MaRDI QIDQ4690913zbMATH OpenOpenAlexFDO

Authors Pavol Brunovský, Margaréta Halická, Mario Mitas

Publication date 23 October 2018

Published in Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-75169-6_13

zbMATH Keywords

free terminal time optimal controlmathematical finance

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Financial applications of other theories (91G80)

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Cites work

• A singular differential equation stemming from an optimal control problem in financial economics
• Anticipation effects of technological progress on capital accumulation: a vintage capital approach
• scientific article; zbMATH DE number 3992265 (Why is no real title available?)
• Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions

Cited in

(2)

• Optimal security liquidation algorithms
• Stochastic maximum principle for optimal liquidation with control-dependent terminal time

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