Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact

@article{Ishitani2015TheoreticalAN,
  title={Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact},
  author={Kensuke Ishitani and Takashi Kato},
  journal={Microeconomics: General Equilibrium \& Disequilibrium Models of Financial Markets eJournal},
  year={2015}
}
  • Kensuke Ishitani, Takashi Kato
  • Published 2015
  • Economics, Mathematics
  • Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal
This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here, we investigate some properties of the derived value function. In particular, we show that the function is continuous and has the semigroup property, which is strongly related to the Hamilton-Jacobi-Bellman quasi-variational inequality. Moreover, we show that… Expand
An Optimal Execution Problem with S-Shaped Market Impact Functions
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