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Optimal Execution with Quadratic Variation Inventories.
René Carmona
Laura Leal
Published in:
SIAM J. Financial Math. (2023)
Keyphrases
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pairwise
dynamic programming
closed form
optimal control
objective function
computational complexity
artificial intelligence
information systems
decision making
decision trees
query processing
management system
worst case
markov decision processes
data flow
execution model