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.
Authors
- Yan Dolinsky (ORCID: https://orcid.org/0000-0002-4585-6713)
Institutions
- Hebrew University of Jerusalem (IL)
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
Funders
- Israel Science Foundation