Bellman equation for an optimal stock liquidation model with stochastic market impact (JNCA)
Volume 17
Number 5
pp. 1031-1049

Bellman equation for an optimal stock liquidation model with stochastic market impact
Baojun Bian, Chunye Li, Shuntai Hu and Hong-Kun Xu

Key words Mathematices Subject Classification
Bellman equation, optimal stock liquidation, stochastic market impact, optimal stochastic control, viscosity solution Primary 35J91; Secondary 35J67, 62P20

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