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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Bibliographic Details
Main Author: Drissi, F
Format: Journal article
Language:English
Published: Taylor and Francis 2023