Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
Julia Ackermann, Thomas Kruse, Mikhail Urusov
| Year of publication: |
2024
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|---|---|
| Authors: | Ackermann, Julia ; Kruse, Thomas ; Urusov, Mikhail |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 28.2024, 3, p. 813-863
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| Subject: | Backward stochastic differential equation | Continuous extension of cost functional | Finite-variation stochastic control | Linear-quadratic stochastic control | Optimal trade execution | Progressively measurable execution strategy | Stochastic price impact | Stochastic resilience | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-024-00537-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015130389