英文标题：
《Optimal Trade Execution with Instantaneous Price Impact and Stochastic
Resilience》
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作者：
Paulwin Graewe, Ulrich Horst
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最新提交年份：
2017
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英文摘要：
We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can be described by a three-dimensional system of backward stochastic differential equations (BSDE) with a singular terminal condition in one component. We prove existence and uniqueness of a solution to the BSDE system and characterize both the value function and the optimal strategy in terms of the unique solution to the BSDE system. Our existence proof is based on an asymptotic expansion of the BSDE system at the terminal time that allows us to express the system in terms of a equivalent system with finite terminal value but singular driver.
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中文摘要：
我们研究了非流动市场中的一个最优执行问题，当仅允许绝对连续的交易策略时，该问题具有瞬时和持续的价格影响以及随机弹性。在我们的模型中，值函数可以用一个具有奇异终端条件的三维倒向随机微分方程（BSDE）系统来描述。我们证明了BSDE系统解的存在性和唯一性，并根据BSDE系统的唯一解刻画了值函数和最优策略。我们的存在性证明基于BSDE系统在终端时间的渐近展开，该展开允许我们将系统表示为具有有限终端值但奇异驱动的等效系统。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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