Implicit Numerical Scheme for the Hamilton-Jacobi-Bellman Quasi-Variational Inequality in the Optimal Market-Making Problem with Alpha Signal

Fuente: arXiv

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Bibliographic Details
Main Author:	Meteykin, Alexey
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance Numerical Analysis
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2512.20850