Package org.drip.execution.hjb

Optimal Hamilton-Jacobi-Bellman Execution

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
NonDimensionalCost	NonDimensionalCost exposes the Level, the Gradient, and the Jacobian of the Realized Non Dimensional Cost Value Function to the Market State.
NonDimensionalCostCorrelated	NonDimensionalCostCorrelated contains the Level, the Gradient, and the Jacobian of the HJB Non dimensional Cost Value Function to the Individual Correlated Market States.
NonDimensionalCostEvolver	NonDimensionalCostEvolver exposes the HJB-based Single Step Optimal Trajectory Cost Step Evolver using the Variants of the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
NonDimensionalCostEvolverCorrelated	NonDimensionalCostEvolverCorrelated implements the Correlated HJB-based Single Step Optimal Trajectory Cost Step Evolver using the Correlated Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
NonDimensionalCostEvolverSystemic	NonDimensionalCostEvolverSystemic implements the 1D HJB-based Single Step Optimal Trajectory Cost Step Evolver using the Systemic Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the Realization of the Market State Variable as described in the "Trading Time" Model.
NonDimensionalCostSystemic	NonDimensionalCostSystemic contains the Level, the Gradient, and the Jacobian of the HJB Non Dimensional Cost Value Function to the Systemic Market State.