Portfolio liquidation under factor uncertainty
Author:
Affiliation:
1. Department of Mathematics, and School of Business and Economics, Humboldt-Universität zu Berlin
2. Department of Mathematics, Wenzhou University
3. Department of Mathematics, City University of Hong Kong
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference44 articles.
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3. ANKIRCHNER, S., JEANBLANC, M. and KRUSE, T. (2014). BSDEs with singular terminal condition and a control problem with constraints. SIAM J. Control Optim. 52 893–913.
4. BARLES, G., CHASSEIGNE, E., CIOMAGA, A. and IMBERT, C. (2012). Lipschitz regularity of solutions for mixed integro-differential equations. J. Differential Equations 252 6012–6060.
5. BARLES, G., CHASSEIGNE, E. and IMBERT, C. (2011). Hölder continuity of solutions of second-order non-linear elliptic integro-differential equations. J. Eur. Math. Soc. (JEMS) 13 1–26.
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