Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
研究了瞬时价格冲击和随机恢复力下的最优清算问题，证明当冲击因子趋近于零时最优组合过程收敛到半鞅控制下的解，为清算策略提供了统一框架。
Abstract We consider an optimal liquidation problem with instantaneous price impact and stochastic resilience for small instantaneous impact factors. Within our modelling framework, the optimal portfolio process converges to the solution of an optimal liquidation problem with general semimartingale controls when the instantaneous impact factor converges to zero. Our results provide a unified framework within which to embed the two most commonly used modelling frameworks in the liquidation literature and provide a foundation for the use of semimartingale liquidation strategies and the use of portfolio processes of unbounded variation. Our convergence results are based on novel convergence results for BSDEs with singular terminal conditions and novel representation results of BSDEs in terms of uniformly continuous functions of forward processes.