no code implementations • 23 May 2024 • Xinman Cheng, Guanxing Fu, Xiaonyu Xia
In this paper, we study the long time behavior of an optimal liquidation problem with semimartingale strategies and external flows.
no code implementations • 1 Jul 2022 • Guanxing Fu, Ulrich Horst, Xiaonyu Xia
We consider a mean-field control problem with c\`adl\`ag semimartingale strategies arising in portfolio liquidation models with transient market impact and self-exciting order flow.
