2 papers
math.OC2024
The perturbation method applied to a robust optimization problem with constraint
Peng Luo, Alexander Schied, Xiaole Xue
The present paper studies a kind of robust optimization problems with constraint. The problem is formulated through Backward Stochastic Differential Equations (BSDEs) with quadrati…
q-fin.TR2012
Drift dependence of optimal trade execution strategies under transient price impact
Christopher Lorenz, Alexander Schied
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient pr…