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Stochastic Maximum Principle for Optimal Liquidation with Control-Dependent Terminal Time

Crossref DOI link: https://doi.org/10.1007/s00245-022-09848-1

Published Online: 2022-05-10

Published Print: 2022-06

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Cesari, Riccardo

Zheng, Harry https://orcid.org/0000-0002-5882-2088
Funding

Funding for this research was provided by:

Engineering and Physical Sciences Research Council (EP/V008331/1)
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Text and Data Mining valid from 2022-05-10

Version of Record valid from 2022-05-10
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Article History

Accepted: 28 September 2021

First Online: 10 May 2022