Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone (Q2132528)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone (English)
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28 April 2022
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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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