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"An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic ..."

Peter Kratz (2014)

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DOI: 10.1287/MOOR.2014.0649

access: closed

type: Journal Article

metadata version: 2017-05-28

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Peter Kratz:
An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection. Math. Oper. Res. 39(4): 1198-1220 (2014)

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