Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Finance and Stochastics 28 (2024) 3, pp. 813-863
We start with a stochastic control problem where the control process is of finite variation (possibly with jumps) and acts as integrator both in the state dynamics and in the target functional. Problems of such type arise in the stream of literature on optimal trade execution pioneered by...