A partitioning algorithm for Markov decision processes with applications to market microstructure
Ningyuan Chen, Steven Kou, Chun Wang
| Year of publication: |
February 2018
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|---|---|
| Authors: | Chen, Ningyuan ; Kou, Steven ; Wang, Chun |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 64.2018, 2, p. 784-803
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| Subject: | Markov chains | large order execution | electricity trading/production | partitioning | quadratic stochastic programming | Markov-Kette | Markov chain | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Wahrscheinlichkeitsrechnung | Probability theory | Marktmikrostruktur | Market microstructure | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2016.2639 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011823146