Corpus ID: 73668871

A control problem for a speculative investor in a target zone model

@article{Neuman2018ACP,
  title={A control problem for a speculative investor in a target zone model},
  author={E. Neuman and A. Schied},
  journal={arXiv: Mathematical Finance},
  year={2018}
}
We consider a stochastic control problem for a trader who wishes to maximize the expected local time through generating price impact. The local time can be regarded as a proxy for the inventory of a central bank whose aim is to maintain a target zone. 

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