BSDEs with Singular Terminal Condition and a Control Problem with Constraints (Q5494901)
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scientific article; zbMATH DE number 6323042
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BSDEs with Singular Terminal Condition and a Control Problem with Constraints |
scientific article; zbMATH DE number 6323042 |
Statements
BSDEs with Singular Terminal Condition and a Control Problem with Constraints (English)
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30 July 2014
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backward stochastic differential equation
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singular terminal condition
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stochastic control with constraints
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maximum principle
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optimal liquidation
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