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Stochastic process
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optimal liquidation
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Mathematics of operations research
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ECONIS (ZBW)
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Portfolio liquidation in dark pools in continuous time
Kratz, Peter
;
Schöneborn, Torsten
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 496-544
Persistent link: https://www.econbiz.de/10011350581
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An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter
- In:
Mathematics of operations research
39
(
2014
)
4
,
pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
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