Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone

DOI10.1016/j.spa.2022.02.009zbMath1489.93134OpenAlexW4214834455MaRDI QIDQ2132528

Yanyan Li

Publication date: 28 April 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2022.02.009

zbMATH Keywords

Neumann problemoptimal liquidationbackward stochastic partial differential equationconstrained stochastic controlstochastic Hamilton-Jacobi-Bellman equationsingular terminal condition

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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