An optimal execution problem with market impact

@article{Kato2014AnOE,
  title={An optimal execution problem with market impact},
  author={Takashi Kato},
  journal={Finance and Stochastics},
  year={2014},
  volume={18},
  pages={695-732}
}
  • Takashi Kato
  • Published 2014
  • Mathematics, Computer Science, Economics
  • Finance and Stochastics
We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that right-continuity at the time origin is associated with the strength of market impact for large sales; otherwise the value function is continuous. Moreover, we show the semigroup property (Bellman principle) and characterise the value function as a viscosity… Expand
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