Mathematical formulation of an optimal execution problem with uncertain market impact
نویسندگان
چکیده
منابع مشابه
An optimal execution problem with market impact
We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that right-continuity at the time origin is associated with the strength of market impact for large sales, otherwise the value function is continuous. Moreover, we sh...
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ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2015
ISSN: 0973-9599
DOI: 10.31390/cosa.9.1.07