A discrete-time optimal execution problem with market prices subject to random environments - Jasso-Fuentes, Héctor; Pacheco, Carlos G.; Salgado-Suárez, Gladys D. (TOP, 2023)
Keywords: Business and Management; Dynamic programming; Economic Theory/Quantitative Economics/Mathematical Methods; Economics; Finance; Industrial and Production Engineering; Insurance; Management; Mathematical models; Operations Research/Decision Theory; Optimization; Original Paper; Statistics for Business; Random environment; 90C40; Random walks; 91G15; 82B41; 60K37; Price impacts; Dynamic programming; Optimal execution problems