A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions (Q5252499): Difference between revisions
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scientific article; zbMATH DE number 6441875
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions |
scientific article; zbMATH DE number 6441875 |
Statements
A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions (English)
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2 June 2015
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stochastic control
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backward stochastic partial differential equation
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portfolio liquidation
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singular terminal value
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