Some computations for optimal execution with monotone strategies

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.

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Publication Details

Journal
Systems & Control Letters
Published
2025-03-30
DOI
https://doi.org/10.1016/j.sysconle.2025.106083
Primary Topic
Risk and Portfolio Optimization
Type
article
Field-Weighted Citation Impact
0.00

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Some computations for optimal execution with monotone strategies

Yan Dolinsky
Systems & Control Letters
Risk and Portfolio Optimization
article

Some computations for optimal execution with monotone strategies

Yan Dolinsky
article en

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.

Systems & Control LettersVol. 200
Hebrew University of Jerusalem (IL)
Israel Science Foundation
Openalex Percentile: Top 93%
Risk and Portfolio Optimization
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