Solvability of differential Riccati equations and applications to algorithmic trading with signals
We study a differential Riccati equation (DRE) with indefinite matrix coefficients, which arises in a wide class of practical problems. We show that the DRE solves an associated control problem, which is key to provide existence and uniqueness of a solution. As an application, we solve two algorithm...
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Format: | Journal article |
Language: | English |
Published: |
Taylor and Francis
2023
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