Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone (Q2132528): Difference between revisions

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scientific article

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English	Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone	scientific article

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instance of

scholarly article

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title

Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone (English)

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author

Yanyan Li

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published in

Stochastic Processes and their Applications

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publication date

28 April 2022

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zbMATH Keywords

stochastic Hamilton-Jacobi-Bellman equation

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backward stochastic partial differential equation

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singular terminal condition

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constrained stochastic control

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optimal liquidation

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Neumann problem

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.spa.2022.02.009

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cites work

Controlled reflected SDEs and Neumann problem for backward SPDEs

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A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING

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Stochastic maximum principle for distributed parameter systems

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\(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space

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Backward Stochastic Differential Equations in Finance

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Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs

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Q4399897

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Optimal trade execution: a mean quadratic variation approach

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Maximum principle for quasi-linear reflected backward SPDEs

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OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK

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A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions

0 references

Smooth solutions to portfolio liquidation problems under price-sensitive market impact

0 references

A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition

0 references

On semi-linear degenerate backward stochastic partial differential equations

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PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME

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Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting

0 references

On the Itô--Wentzell formula for distribution-valued processes and related topics

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Q4354424

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Backward Stochastic PDE and Imperfect Hedging

0 references

Optimal portfolio liquidation in target zone models and catalytic superprocesses

0 references

Stochastic Hamilton–Jacobi–Bellman Equations

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Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations

0 references

Maximum principle for quasi-linear backward stochastic partial differential equations

0 references

A control problem with fuel constraint and Dawson-Watanabe superprocesses

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Identifiers

zbMATH Open document ID

1489.93134

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Mathematics Subject Classification ID

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10.1016/J.SPA.2022.02.009

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Sitelinks

Mathematics(1 entry)

mardi Publication:2132528

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@@ Property / OpenAlex ID: W4214834455 / rank @@
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@@ Property / cites work @@
+Controlled reflected SDEs and Neumann problem for backward SPDEs
+Normal rank
@@ Property / cites work @@
+A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING
@@ Property / cites work: A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle for distributed parameter systems
+Normal rank
@@ Property / cites work @@
+\(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs
+Normal rank
@@ Property / cites work @@
+Q4399897
@@ Property / cites work: Q4399897 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal trade execution: a mean quadratic variation approach
+Normal rank
@@ Property / cites work @@
+Maximum principle for quasi-linear reflected backward SPDEs
+Normal rank
@@ Property / cites work @@
+OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
+Normal rank
@@ Property / cites work @@
+A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
+Normal rank
@@ Property / cites work @@
+Smooth solutions to portfolio liquidation problems under price-sensitive market impact
+Normal rank
@@ Property / cites work @@
+A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition
+Normal rank
@@ Property / cites work @@
+On semi-linear degenerate backward stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME
+Normal rank
@@ Property / cites work @@
+Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
+Normal rank
@@ Property / cites work @@
+On the Itô--Wentzell formula for distribution-valued processes and related topics
+Normal rank
@@ Property / cites work @@
+Q4354424
@@ Property / cites work: Q4354424 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic PDE and Imperfect Hedging
@@ Property / cites work: Backward Stochastic PDE and Imperfect Hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolio liquidation in target zone models and catalytic superprocesses
+Normal rank
@@ Property / cites work @@
+Stochastic Hamilton–Jacobi–Bellman Equations
@@ Property / cites work: Stochastic Hamilton–Jacobi–Bellman Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations
+Normal rank
@@ Property / cites work @@
+Maximum principle for quasi-linear backward stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+A control problem with fuel constraint and Dawson-Watanabe superprocesses
+Normal rank
@@ Property / DOI @@
+.1016/J.SPA.2022.02.009
@@ Property / DOI: 10.1016/J.SPA.2022.02.009 / rank @@
+Normal rank