Optimal control of trading algorithms: A general impulse control approach

SIAM Journal on Financial Mathematics

Volumn 2, Issue 1, 2011, Pages 404-438

  Bouchard, Bruno ^a   Dang, Ngoc Minh ^a   Lehalle, Charles Albert ^b  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

^b CA Cheuvreux   (France)

Author keywords

Discontinuous viscosity solutions; Intraday trading; Optimal impulse control

Indexed keywords

EID: 84871040760     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/090777293     Document Type: Article

References (11)

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