Multi-dimensional optimal trade execution under stochastic resilience
Ulrich Horst, Xiaonyu Xia
| Year of publication: |
2019
|
|---|---|
| Authors: | Horst, Ulrich ; Xia, Xiaonyu |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 23.2019, 4, p. 889-923
|
| Subject: | Multi-dimensional backward stochastic Riccati differential equations | Multi-dimensional portfolio liquidation problem | Singular terminal value | Stochastic control | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-019-00394-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012114663