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An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection.
Peter Kratz
Published in:
Math. Oper. Res. (2014)
Keyphrases
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stochastic control
optimal solution
adverse selection
optimal control
control problems
moral hazard
computational complexity
closed form
queueing systems
brownian motion
principal agent
operations management
decision making
np hard
markov chain
learning algorithm
cooperative