Optimal Liquidation under Partial Information with Price Impact
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Date
2018-04Type
- Report
ETH Bibliography
yes
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Publication status
publishedJournal / series
SAM Research ReportVolume
Publisher
Seminar for Applied Mathematics, ETH ZurichSubject
Optimal liquidation; stochastic filtering; Piecewise deterministic Markov process; Viscosity solutions and comparison principleOrganisational unit
03951 - Jentzen, Arnulf (ehemalig) / Jentzen, Arnulf (former)
09557 - Cheridito, Patrick / Cheridito, Patrick
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ETH Bibliography
yes
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