Develops a singular stochastic control model for optimal execution with stochastic resilience dynamics and regime-switching liquidity, proving the value function is the unique viscosity solution to a system of variational HJB inequalities.
Dynamic optimal execution in a mixed-market-impact Hawkes price model
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.MF 1years
2025 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Optimal Execution under Liquidity Uncertainty
Develops a singular stochastic control model for optimal execution with stochastic resilience dynamics and regime-switching liquidity, proving the value function is the unique viscosity solution to a system of variational HJB inequalities.