A Hamilton-Jacobi-Bellman approach to optimal trade execution

Applied Numerical Mathematics

Volumn 61, Issue 2, 2011, Pages 241-265

  Forsyth, Peter A ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

HJB equation; Mean variance tradeoff; Optimal execution; Semi Lagrangian discretization; Viscosity solution

Indexed keywords

HJB EQUATIONS; MEAN VARIANCE; OPTIMAL EXECUTION; SEMI-LAGRANGIAN; VISCOSITY SOLUTION;

COMMERCE; OPTIMIZATION; STOCHASTIC CONTROL SYSTEMS; VISCOSITY;

LAGRANGE MULTIPLIERS;

EID: 78649679204     PISSN: 01689274     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.apnum.2010.10.004     Document Type: Article

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