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20182026
most citedMulti-dimensional Optimal Trade Execution under Stochastic Resilience

3 citations · 3 across the 5 of their papers we have counts for

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math.OC2026

Stochastic Control Problems with Infinite Horizon and Regime Switching Arising in Optimal Liquidation with Semimartingale Strategies

Xinman Cheng, Guanxing Fu, Xiaonyu Xia

We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy c…