Stochastic Control Problems with Infinite Horizon and Regime Switching Arising in Optimal Liquidation with Semimartingale Strategies

By Xinman Cheng, Guanxing Fu, Xiaonyu Xia

Published 2026-02-27

Everscope rating

1244.8

Relevance to quantitative trading

8 / 10

Implementation complexity

10 / 10

Reproducibility

1 / 5

About this paper

Methodology: Infinite-Horizon BSDE Systems with BMO Analysis and Comparison Theorems. Problem types: Optimization, Algorithmic Execution, Portfolio Optimization.

arXiv:2602.20552 · Paper rankings

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