Ngoc-Minh Dang

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We propose a general framework for intra-day trading based on the control of trading algorithms. Given a generic parameterized algorithm, we control the dates (τ i) i at which it is launched, the length (δ i) i of the trading period and the value of the parameters (E i) i kept during the time interval [τ i , τ i + δ i [. This gives rise to a non-classical(More)
We consider a singular with state constraints version of the stochas-tic target problems studied in [22], [23] and more recently [6], among others. This provides a general framework for the pricing of contingent claims under risk constraints. Our extended version perfectly suits to market models with proportional transaction costs and to order book(More)
Within a general abstract framework, we show that any optimal control problem in standard form can be translated into a stochastic target problem as defined in [17], whenever the underlying filtered probability space admits a suitable martingale representation property. This provides a unified way of treating these two classes of stochastic control(More)
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