Optimal Liquidation under Partial Information with Price Impact

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Author
Colaneri, Katia
Eksi, Zehra
Frey, Rüdiger
Szölgyenyi, Michaela
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Date
2018-04
Type
  • Report
Publication status
published
External links
https://www.math.ethz.ch/sam/research/reports.html?id=771
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Journal / series
SAM Research Report
Volume
2018-17
Publisher
Seminar for Applied Mathematics, ETH Zurich
Subject
Optimal liquidation; stochastic filtering; Piecewise deterministic Markov process; Viscosity solutions and comparison principle
Organisational unit
03951 - Jentzen, Arnulf / Jentzen, Arnulf  
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yes
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