标题： 有限时间 regime 切换模型下带有永久性和暂时性定价影响的最优清算问题 显示英文标题

标题： Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact

摘要： 在本文中，我们讨论在有限时间范围内直到退出时间的最优清算问题。 资产价格的漂移项和扩散项是依赖于所有变量（包括控制和市场制度）的一般函数。 清算还伴随着局部非线性交易成本。 该模型在制度转换框架下处理永久性影响和暂时性影响。 该问题可以通过动态规划原理来解决。 最优值函数是HJB方程的唯一连续粘性解，可以用有限差分法进行计算。 显示英文摘要

摘要： In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is also a local nonlinear transaction cost associated to the liquidation. The model deals with both the permanent impact and the temporary impact in a regime switching framework. The problem can be solved with the dynamic programming principle. The optimal value function is the unique continuous viscosity solution to the HJB equation and can be computed with the finite difference method.