General intensity shapes in optimal liquidation
Olivier Guéant; Charles-Albert Lehalle
| 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 | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Liquidität | Liquidity | Portfolio-Management | Portfolio selection |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011350585