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Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions.
Pavol Brunovský
Ales Cerný
Ján Komadel
Published in:
Eur. J. Oper. Res. (2018)
Keyphrases
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numerical solution
difference equations
differential equations
low order
optimal solution
dynamic programming
partial differential equations
nonlinear equations
finite difference
complex systems
linear systems
computer vision
np hard
image analysis
object recognition
search algorithm
objective function