抄録
In [4], we study mathematical formulation of an optimal execution problem in consideration of market impact and some properties of the corresponding value functions. But there are few studies, including [4], which treat the noise of market impact. In this study we construct a model with random market impact as a generalization of [4]. We consider the case where the noise of market impact in a discrete-time model is given as i.i.d. random variables, and then we derive a continous-time model as a limit in which the noise is described as a jump of a Lévy process.
