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Optimal liquidation under stochastic liquidity

ideas.repec.org

Dirk Becherer & Todor Bilarev & Peter Frentrup, "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, vol. 22(1), pages , ...

Optimal Asset Liquidation with Multiplicative Transient Price Impactjournals.scholarsportal.info › details

journals.scholarsportal.info

Optimal Asset Liquidation with Multiplicative Transient Price Impact. Authors. Dirk Becherer · Todor Bilarev · Peter Frentrup. Source Information.

Essays on utility maximization and optimal stopping problems in the...

www.econbiz.de

von M.Sc. Victor Nzengang Feunou ; Gutachter: 1. Prof. Dr. Peter Imkeller, 2. Prof. Dr. Dirk Becherer, 3. Prof. Dr. Stefan Ankirchner ...

Stochastic Finance: An Introduction in Discrete Timegoogle.by

books.google.by

... Dirk Becherer, Ulrich Horst, Steffen Krüger, Irina Penner, and to Alexander Giese who designed some of the figures. Special thanks are due to Peter Bank for ...

[ ] Approximating diffusion reflections at elastic boundaries

arxiv.org

Authors:Dirk Becherer, Todor Bilarev, Peter Frentrup. (Submitted on 17 Oct (v1), last revised 13 Jun (this version, v2)). Abstract: We show a ...

Humboldt-Universität zu Berlin - NanoPDF

nanopdf.com

Dr. Dirk Becherer. Klébert Kentia Tonleu, Peter Frentrup. Blatt 12. Sommersemester Version vom 2. Juli ¨Ubungen zur Stochastik 1. › download › blatt-12_pdf

[ ] Optimal Liquidation under Stochastic Liquidity

arxiv.org

Authors:Dirk Becherer, Todor Bilarev, Peter Frentrup. (Submitted on 21 Mar (v1), last revised 2 Nov (this version, v4)). Abstract: We solve explicitly a ...

[PDF] Humboldt-Universität zu Berlin - Nanopdfnanopdf.com › blatt-10-humboldt-universitt-zu-berlin-4_pdf

nanopdf.com

Dr. Dirk Becherer. Peter Frentrup. Blatt 10. Wintersemester Version vom 22. Januar ¨Ubungen zur Analysis III. Aufgabe 1 (4 Punkte).

Faculty – Stochastic Analysis in Interaction

www3.math.tu-berlin.de

Peter Bank, TU Berlin; Christian Bayer, WIAS; Dirk Becherer, HU Berlin; Christoph Belak, TU Berlin; Dmirtry Belyaev, U Oxford; Julien Berestycki, U Oxford ...

Touch down of stochastic analysis in Bielefeld - CRC 1283Uni Bielefeld

www.sfb1283.uni-bielefeld.de

Dirk Becherer (Humboldt Universität zu Berlin); Konstantinos Dareiotis (MPI Leipzig); Arnaud Debussche (École Normale Supérieure de Rennes); Peter Friz (TU ...

EconPapers: Optimal liquidation under stochastic liquidity

econpapers.repec.org

By Dirk Becherer, Todor Bilarev and Peter Frentrup; Abstract: Abstract We solve explicitly a two-dimensional singular control problem of finite ...

AMS :: Proceedings of the American Mathematical Society

www.ams.org

MR , https://doi.org s ; [8] Dirk Becherer, Todor Bilarev, and Peter Frentrup, Optimal liquidation under stochastic liquidity, ...

Approximating diffusion reflections at elastic boundariesProject Euclid

projecteuclid.org

von D Becherer · · Zitiert von: 4 — ... Dirk Becherer, Todor Bilarev, Peter Frentrup · DOWNLOAD PDF + SAVE TO MY LIBRARY. Electron. Commun. Probab. 23: (2018). DOI: ECP141. ARTICLE ...