The Deterministic Optimal Liquidation Problem

Pavol Brunovský (), Margaréta Halická () and Mario Mitas ()
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Pavol Brunovský: Comenius University in Bratislava
Margaréta Halická: Comenius University in Bratislava
Mario Mitas: Comenius University in Bratislava

A chapter in Control Systems and Mathematical Methods in Economics, 2018, pp 267-278 from Springer

Abstract: Abstract A one-dimensional free terminal time optimal control problem stemming from mathematical finance is studied. To find the optimal solution and prove its optimality the standard maximum principle procedure including Arrow’s sufficiency theorem is combined with specific properties of the problem. Certain unexpected features of the solution are pointed out and discussed.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-319-75169-6_13

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DOI: 10.1007/978-3-319-75169-6_13

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