HIGHLIGHTS
- who: Riccardo Cesari from the Department of Mathematics, Imperial College, London , BZ, UK have published the article: Stochastic Maximum Principle for Optimal Liquidation with Control-Dependent Terminal Time, in the Journal: (JOURNAL)
- what: The authors investigate a stochastic optimal control problem with a random terminal time.
- future: This is only the first step in the direction of SMP for control-dependent stopping time problems and there remain many open questions to be answered for example existence of pointwise limits (2.11) and_(2.12) sufficient SMP for optimality a jump diffusion control-dependent . . .
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