Optimal execution with multiplicative price impact and incomplete information on the return
Year of publication: |
2023
|
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Authors: | Dammann, Felix ; Ferrari, Giorgio |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 27.2023, 3, p. 713-768
|
Subject: | Multiplicative price impact | Optimal execution problem | Optimal stopping | Partial observation | Singular stochastic control | Unvollkommene Information | Incomplete information | Portfolio-Management | Portfolio selection | Suchtheorie | Search theory | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory |
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