Mathematical Finance and Probability Seminars
Equilibrium Model of Limit Order Books and Optimal Execution Problems
Tuesday, January 16, 2018 at 11:40am - 12:40pm
Jenny Noh, USC
The subsequent optimal execution problem will feature an underlying dynamics as a Reflected McKean-Vlasov SDE with Jumps. We shall prove the well-posedness of such SDE, and validate the Dynamic Programming Principle (DPP). We will then show that the value function is a viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation which is in the form of a mean-field type integro-partial-differential quasi-variational inequality.