Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint (Q4604636): Difference between revisions

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+.06830
@@ Property / arXiv ID: 1611.06830 / rank @@
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+Optimal position targeting with stochastic linear-quadratic costs
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+BSDEs with Singular Terminal Condition and a Control Problem with Constraints
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+Hedging with temporary price impact
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+Linear Quadratic Optimal Stochastic Control with Random Coefficients
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+Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
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+A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
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+A maximum principle for stochastic optimal control with terminal state constraints, and its applications
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+Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
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+Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
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+BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
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+Representation of Itô integrals by Lebesgue/Bochner integrals
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+Curve following in illiquid markets
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+Backward stochastic differential equations with singular terminal condition
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+Limit behaviour of BSDE with jumps and with singular terminal condition
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+THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
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+A control problem with fuel constraint and Dawson-Watanabe superprocesses
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@@ Property / Wikidata QID: Q130168119 / rank @@
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