Topics in stochastic control with applications to algorithmic trading
This thesis considers three topics in stochastic control theory. Each of these topics is motivated by an application in finance. In each of the stochastic control problems formulated, the optimal strategy is characterised using dynamic programming. Closed form solutions are derived in a number of sp...
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London School of Economics and Political Science (University of London)
2016
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.706167 |