Optimal Liquidation under Partial Information with Price Impact
METADATA ONLY
Loading...
Author / Producer
Date
2018-04
Publication Type
Report
ETH Bibliography
yes
Citations
Altmetric
METADATA ONLY
Data
Rights / License
Permanent link
Publication status
published
Editor
Book title
Journal / series
Volume
2018-17
Pages / Article No.
Publisher
Seminar for Applied Mathematics, ETH Zurich
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Optimal liquidation; stochastic filtering; Piecewise deterministic Markov process; Viscosity solutions and comparison principle
Organisational unit
03951 - Jentzen, Arnulf (ehemalig) / Jentzen, Arnulf (former)
09557 - Cheridito, Patrick / Cheridito, Patrick