Takashi Kato. An optimal execution problem in the volume-dependent Almgren-Chriss model. Algorithmic Finance, 7(1-2):1-14, 2018. [doi]
@article{Kato18-1,
title = {An optimal execution problem in the volume-dependent Almgren-Chriss model},
author = {Takashi Kato},
year = {2018},
doi = {10.3233/AF-170198},
url = {https://doi.org/10.3233/AF-170198},
researchr = {https://researchr.org/publication/Kato18-1},
cites = {0},
citedby = {0},
journal = {Algorithmic Finance},
volume = {7},
number = {1-2},
pages = {1-14},
}