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.
Universal price impact functions of individual trades in an order-driven market
2 Pith papers cite this work. Polarity classification is still indexing.
2
Pith papers citing it
years
2025 2verdicts
UNVERDICTED 2representative citing papers
Modular network structure in the BChS opinion model produces robust intragroup ordering without global consensus and anti-ferromagnetic ordering between modules.
citing papers explorer
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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.
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Biswas-Chatterjee-Sen (BChS) kinetic exchange opinion model on modular networks
Modular network structure in the BChS opinion model produces robust intragroup ordering without global consensus and anti-ferromagnetic ordering between modules.