Second-Order Stochastic Target Problems with Generalized Market Impact
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Author / Producer
Date
2019
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
METADATA ONLY
Data
Rights / License
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
57 (6)
Pages / Article No.
4125 - 4149
Publisher
SIAM
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Second-order stochastic target; Generalized market impact; Fully nonlinear parabolic equation; Asymptotic expansion
Organisational unit
03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
Notes
Funding
172815 - Asymptotics and Model Uncertainty in Optimal Control (SNF)
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