97 citations · 798 across the 62 of their papers we have counts for
Showing 2010Show all
2 papers · 1 filter
q-fin.CP2010
Numerical methods for an optimal order execution problem
Fabien Guilbaud, Mohamed Mnif, Huyên Pham
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy exe…
math.PR2010
Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
Huyen Pham
We formulate and investigate a general stochastic control problem under a progressive enlargement of filtration. The global information is enlarged from a reference filtration and…