Optimal Control of Trading Algorithms: A General Impulse Control Approach

Bruno Bouchard, Ngoc Minh Dang, Charles-Albert Lehalle. Optimal Control of Trading Algorithms: A General Impulse Control Approach. SIAM J. Financial Math., 2(1):404-438, 2011. [doi]

Authors

Bruno Bouchard

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Ngoc Minh Dang

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Charles-Albert Lehalle

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