Work

Some computations for optimal execution with monotone strategies

Year: 2025

Type: article

Abstract: We study an optimal execution problem in the infinite horizon setup. Our financial market is given by the Black–Scholes model with a linear price impact. The main novelty of the current note is that we study the constrained case where the number of shares and the selling rate are non-negative processes. For this case we give a complete characterization of the value and the optimal control via a solution of a non-linear ordinary differential equation (ODE). Furthermore, we provide an example where the non-linear ODE can be solved explicitly. Our approach is purely probabilistic.

Source: Systems & Control Letters

DOI: 10.1016/j.sysconle.2025.106083

Author: Yan Dolinsky

Institution: Hebrew University of Jerusalem

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,910

Funder: Israel Science Foundation