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《第37届中国控制会议论文集(A)》2018年
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Optimal Stock Liquidation Under the Liquidity Factor Characterized by Mean Reverting Model

Chunye Li  Baojun Bian  
【摘要】:This paper considers the optimal exercise decision for selling a large block of stocks,which price is decreased for the liquidity reasons.Mean reverting process is been used to describe the market liquidity factor.The stock price follows a geometric Brownian motion,and is characterised by a stochastic price impact function related to the market liquidity factor.Using dynamic programming principle,the Hamilton-Jacobi-Bellman(HJB)equation is given.In the constraint viscosity solution flame,we obtain the comparison principle and the uniqueness.Finally,the numerical simulation is discussed.
【作者单位】:School of Mathematical Sciences,Tongji University
【分类号】:O212.1;F832.51

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