Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (Q737168)
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scientific article; zbMATH DE number 6610055
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| English | Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting |
scientific article; zbMATH DE number 6610055 |
Statements
Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (English)
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8 August 2016
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backward stochastic differential equations
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minimal supersolutions
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optimal stochastic control problem
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portfolio liquidation
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singular terminal condition
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0.8259000778198242
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0.820945143699646
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0.8129221796989441
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0.806304395198822
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0.8052284121513367
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