Asymptotic approach for backward stochastic differential equation with singular terminal condition (Q1994916): Difference between revisions

From MaRDI portal
Created claim: Wikidata QID (P12): Q115341125, #quickstatements; #temporary_batch_1711055989931
Import241208061232 (talk | contribs)
Normalize DOI.
 
(2 intermediate revisions by 2 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.spa.2020.12.004 / rank
Normal rank
 
Property / arXiv ID
 
Property / arXiv ID: 1906.05154 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Trading with Stochastic Liquidity and Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal position targeting via decoupling fields / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDEs with Singular Terminal Condition and a Control Problem with Constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal position targeting with stochastic linear-quadratic costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(L^p\) solutions of backward stochastic differential equations. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal trade execution: a mean quadratic variation approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Smooth solutions to portfolio liquidation problems under price-sensitive market impact / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5459238 / rank
 
Normal rank
Property / cites work
 
Property / cites work: When to Cross the Spread? Trading in Two-Sided Limit Order Books / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Note on BSDEs with Singular Driver Coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous exponential martingales and BMO / rank
 
Normal rank
Property / cites work
 
Property / cites work: PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Malliavin Calculus and Related Topics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adapted solution of a backward stochastic differential equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential equations, backward SDEs, partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time stochastic control and optimization with financial applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations with singular terminal condition / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations with random stopping time and singular final condition / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk Aversion in the Small and in the Large / rank
 
Normal rank
Property / cites work
 
Property / cites work: A control problem with fuel constraint and Dawson-Watanabe superprocesses / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255599 / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.SPA.2020.12.004 / rank
 
Normal rank

Latest revision as of 17:10, 16 December 2024

scientific article
Language Label Description Also known as
English
Asymptotic approach for backward stochastic differential equation with singular terminal condition
scientific article

    Statements

    Asymptotic approach for backward stochastic differential equation with singular terminal condition (English)
    0 references
    0 references
    0 references
    18 February 2021
    0 references
    backward stochastic differential equation
    0 references
    singular terminal condition
    0 references
    asymptotic approach
    0 references
    singular generator
    0 references
    0 references
    0 references
    0 references

    Identifiers