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Explicit Solution for Constrained Optimal Execution Problem with General Correlated Market Depth

Published Online: 2018-03-01

Published Print: 2018-03

Authors

Wu, Wei-Ping

Gao, Jian-Jun https://orcid.org/0000-0002-7824-5919
Funding

Funding for this research was provided by:

National Natural Science Foundation of China (61573244)
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Text and Data Mining valid from 2018-03-01
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Article History

Received: 28 December 2017

Revised: 17 January 2018

Accepted: 30 January 2018

First Online: 1 March 2018

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