Capacitary measures for completely monotone kernels via singular control

SIAM Journal on Control and Optimization

Volumn 51, Issue 2, 2013, Pages 1758-1780

  Alfonsi, Aurélien ^a   Schied, Alexander ^b  

^a UNIVERSITÉ PARIS EST   (France)

^b UNIVERSITY OF MANNHEIM   (Germany)

Author keywords

Capacity theory; Infinite dimensional Riccati differential equation; Optimal order execution; Optimal trade execution; Singular control; Transient price impact; Verification argument

Indexed keywords

CAPACITY THEORY; OPTIMAL ORDER EXECUTION; PRICE IMPACTS; RICCATI DIFFERENTIAL EQUATION; SINGULAR CONTROL; TRADE EXECUTION;

DIFFERENTIAL EQUATIONS; INTEGRAL EQUATIONS;

OPTIMIZATION;

EID: 84879665843     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/120862223     Document Type: Article

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