Liquidation in limit order books with controlled intensity

Mathematical Finance

Volumn 24, Issue 4, 2014, Pages 627-650

  Bayraktar, Erhan ^a   Ludkovski, Michael ^b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Controlled intensity; Fluid limit; Limit order books; Optimal control of point processes; Optimal control of queueing networks

Indexed keywords

EID: 84925332197     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2012.00529.x     Document Type: Article

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