Name
Abstract | ||
|---|---|---|
This paper is concerned with liquidation of an illiquid stock. The stock price follows a fluid model which is dictated by the rates of selling and buying over time. The objective is to maximize the expected overall return. The method of constrained viscosity solution is used to characterize the dynamics governing the optimal reward function and the associated boundary conditions. Numerical examples are given to illustrate the results. © 2011 Springer Science+Business Media, LLC. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1007/s10957-011-9897-0 | J. Optimization Theory and Applications |
Keywords | Field | DocType |
optimal control,selling rule,state constraint,viscosity solution,boundary condition,stochastic control | Boundary value problem,Mathematical optimization,Stock price,Optimal decision,Optimal control,State constraint,Viscosity solution,Mathematics | Journal |
Volume | Issue | ISSN |
151 | 2 | 15732878 |
Citations | PageRank | References |
1 | 0.35 | 5 |
Authors | ||
5 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Bao-jun Bian | 1 | 14 | 3.44 |
| Min Dai | 2 | 1 | 0.35 |
| Lishang Jiang | 3 | 29 | 7.79 |
| Q. Zhang | 4 | 32 | 8.28 |
| Yifei Zhong | 5 | 4 | 1.42 |