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Multi-dimensional Optimal Trade Execution under Stochastic Resilience

arXiv 1804.03896 ↗First posted 11 Apr 2018math.OCcited by 1

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Abstract (arXiv)

We study a multi-dimensional optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience. In our model the value function can be described by a multi-dimensional backward stochastic Riccati differential equations (BSRDE) with a singular terminal condition in one component. We prove the existence of a solution to the BSRDE system and characterise both the value function and the optimal strategy in terms of that solution. We prove that the solution to the liquidation problem can be approximated by the solutions to a sequence of unconstrained problems with increasing penalisation of open positions at the terminal time.

Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 11 Apr 2018.

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