Capacitary Measures for Completely Monotone Kernels via Singular Control
نویسندگان
چکیده
منابع مشابه
Capacitary Measures for Completely Monotone Kernels via Singular Control
We give a singular control approach to the problem of minimizing an energy functional for measures with given total mass on a compact real interval, when energy is defined in terms of a completely monotone kernel. This problem occurs both in potential theory and when looking for optimal financial order execution strategies under transient price impact. In our setup, measures or order execution ...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2013
ISSN: 0363-0129,1095-7138
DOI: 10.1137/120862223