Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models

@article{Ackermann2020CdlgSS,
  title={C{\`a}dl{\`a}g semimartingale strategies for optimal trade execution in stochastic order book models},
  author={Julia Ackermann and Thomas Kruse and Mikhail Urusov},
  journal={Finance and Stochastics},
  year={2020},
  volume={25},
  pages={757 - 810}
}
We analyse an optimal trade execution problem in a financial market with stochastic liquidity. To this end, we set up a limit order book model in continuous time. Both order book depth and resilience are allowed to evolve randomly in time. We allow trading in both directions and for càdlàg semimartingales as execution strategies. We derive a quadratic BSDE that under appropriate assumptions characterises minimal execution costs, and we identify conditions under which an optimal execution… 
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