英文标题：
《On the minimizers of energy forms with completely monotone kernel》
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作者：
Alexander Schied and Elias Strehle
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最新提交年份：
2018
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英文摘要：
Motivated by the problem of optimal portfolio liquidation under transient price impact, we study the minimization of energy functionals with completely monotone displacement kernel under an integral constraint. The corresponding minimizers can be characterized by Fredholm integral equations of the second type with constant free term. Our main result states that minimizers are analytic and have a power series development in terms of even powers of the distance to the midpoint of the domain of definition and with nonnegative coefficients. We show moreover that our minimization problem is equivalent to the minimization of the energy functional under a nonnegativity constraint.
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中文摘要：
基于瞬时价格冲击下的最优投资组合清算问题，研究了积分约束下具有完全单调位移核的能量泛函的极小化问题。相应的极小化子可以用具有常数自由项的第二类Fredholm积分方程来描述。我们的主要结果表明，极小化子是解析的，并且在到定义域中点的距离的偶数幂方面具有幂级数展开，并且具有非负系数。此外，我们还证明了在非负性约束下，我们的极小化问题等价于能量泛函的极小化。
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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：Classical Analysis and ODEs 经典分析与颂歌
分类描述：Special functions, orthogonal polynomials, harmonic analysis, ODE\'s, differential relations, calculus of variations, approximations, expansions, asymptotics
特殊函数、正交多项式、调和分析、Ode、微分关系、变分法、逼近、展开、渐近
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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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