General intensity shapes in optimal liquidation
Year of publication: |
2015
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Authors: | Guéant, Olivier ; Lehalle, Charles-Albert |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 3, p. 457-495
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Subject: | optimal liquidation | limit orders | stochastic optimal control | viscosity solutions | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Liquidität | Liquidity | Mathematische Optimierung | Mathematical programming | Wertpapierhandel | Securities trading |
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