An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Peter Kratz
| Year of publication: |
2014
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|---|---|
| Authors: | Kratz, Peter |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 39.2014, 4, p. 1198-1220
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| Subject: | stochastic control | dynamic programming | mathematical finance | optimal liquidation | closed-form solutions | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Adverse Selektion | Adverse selection | Dynamische Optimierung | Dynamic programming | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Finanzmathematik | Mathematical finance | Finanzmarkt | Financial market |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010462146