2, place Jussieu
Paris, 75005
France
Université Paris VII Denis Diderot
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Market making, limit order book, inventory risk, point process, stochastic control
Market making, limit order book, pro-rata microstructure, inventory risk, marked point process, stochastic control
Optimal Liquidation, Impulse Control Problem, Quasi-Variational Inequality, Explicit Backward Scheme, Quantization Method, Viscosity Solutions
market making, limit order book, pro rata microstructure, inventory risk, marked point process, stochastic control
