Optimal Execution with Stochastic Liquidity and Endogenous Volatility Clustering A Verification-Theoretic and Riccati-Structured Approach

SSRN Electronic Journal 2026 Preprint Open access

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Authors: Yifan Guo

DOI: 10.2139/ssrn.6109786

Cited by: 0

Fields of Study & Subjects

Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization