Pages that link to "Item:Q5252499"

The following pages link to A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions (Q5252499):

Displayed 31 items.

• Viscosity solutions of second order integral-partial differential equations without monotonicity condition: A new result (Q334112) ‎ (← links)
• Smooth solutions to portfolio liquidation problems under price-sensitive market impact (Q681996) ‎ (← links)
• Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (Q737168) ‎ (← links)
• Optimal order display in limit order markets with liquidity competition (Q1657500) ‎ (← links)
• \(L^p\) solution of backward stochastic differential equations driven by a marked point process (Q1756570) ‎ (← links)
• Asymptotic approach for backward stochastic differential equation with singular terminal condition (Q1994916) ‎ (← links)
• Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint (Q2045151) ‎ (← links)
• Portfolio liquidation under factor uncertainty (Q2117436) ‎ (← links)
• Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone (Q2132528) ‎ (← links)
• Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting (Q2176177) ‎ (← links)
• A note on costs minimization with stochastic target constraints (Q2183107) ‎ (← links)
• Optimal position targeting via decoupling fields (Q2192736) ‎ (← links)
• Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models (Q2238774) ‎ (← links)
• Multi-dimensional optimal trade execution under stochastic resilience (Q2274225) ‎ (← links)
• Controlled reflected SDEs and Neumann problem for backward SPDEs (Q2286452) ‎ (← links)
• Integro-partial differential equations with singular terminal condition (Q2357187) ‎ (← links)
• Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations (Q2359708) ‎ (← links)
• Maximum principle for quasi-linear reflected backward SPDEs (Q2401827) ‎ (← links)
• An FBSDE approach to market impact games with stochastic parameters (Q2671645) ‎ (← links)
• A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition (Q2799361) ‎ (← links)
• Limit behaviour of BSDE with jumps and with singular terminal condition (Q2954247) ‎ (← links)
• Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience (Q4596852) ‎ (← links)
• Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint (Q4604636) ‎ (← links)
• On<i>g</i>−evaluations with domains under jump filtration (Q4607789) ‎ (← links)
• Optimal accelerated share repurchases (Q4610214) ‎ (← links)
• Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters (Q4958393) ‎ (← links)
• A Mean Field Game of Optimal Portfolio Liquidation (Q5026436) ‎ (← links)
• Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact (Q5080132) ‎ (← links)
• Backward stochastic differential equations with non-Markovian singular terminal values (Q5384774) ‎ (← links)
• On Regularized Optimal Execution Problems and Their Singular Limits (Q5879351) ‎ (← links)
• Portfolio liquidation games with self‐exciting order flow (Q6054433) ‎ (← links)