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"Optimal Trade Execution with Instantaneous Price Impact and Stochastic ..."

Paulwin Graewe, Ulrich Horst (2017)

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DOI: 10.1137/16M1105463

access: closed

type: Journal Article

metadata version: 2020-07-09

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  - https://dblp.org/rec/journals/siamco/GraeweH17
Paulwin Graewe, Ulrich Horst:
Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. SIAM J. Control. Optim. 55(6): 3707-3725 (2017)

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