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math.OC2021
Stochastic Maximum Principle for Optimal Liquidation with Control-dependent Terminal Time
Riccardo Cesari, Harry Zheng
In this paper we study a general optimal liquidation problem with a control-dependent stopping time which is the first time the stock holding becomes zero or a fixed terminal time,…
math.OC2020
Optimal Liquidation in a Mean-reverting Portfolio
Riccardo Cesari, Harry Zheng
In this work we study a finite horizon optimal liquidation problem with multiplicative price impact in algorithmic trading, using market orders. We analyze the case when an agent i…
math.OC2012★ 1 cited
Weak Necessary and Sufficient Stochastic Maximum Principle for Markovian Regime-Switching Diffusion Models
Yusong Li, Harry Zheng
In this paper we prove a weak necessary and sufficient maximum principle for Markovian regime switching stochastic optimal control problems. Instead of insisting on the maximum con…