| Bellman equation for an optimal
stock liquidation model with stochastic market impact (JNCA) |
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Volume 17
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Number 5
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pp. 1031-1049
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| Bellman equation for an optimal
stock liquidation model with stochastic market impact |
| Baojun Bian, Chunye Li, Shuntai Hu and Hong-Kun Xu |
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| 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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| Copyright© 2015 Yokohama Publishers |
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