Optimal position targeting via decoupling fields

DOI10.1214/19-AAP1511zbMATH Open1445.49001MaRDI QIDQ2192736FDOQ2192736

Authors Stefan Ankirchner, Alexander Fromm, Thomas Kruse, Alexandre Popier 

Publication date 17 August 2020

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aoap/1591603218

zbMATH Keywords

calculus of variationsoptimal stochastic controldecoupling fieldforward backward stochastic differential equation

Mathematics Subject Classification ID

Optimality conditions for problems involving ordinary differential equations (49K15) Optimal stochastic control (93E20) Existence theories for free problems in one independent variable (49J05) Stochastic processes (60G99) Stochastic analysis (60H99)

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Cited in

(7)

• Asymptotic approach for backward stochastic differential equation with singular terminal condition
• An FBSDE approach to market impact games with stochastic parameters
• Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
• Optimal trade execution in an order book model with stochastic liquidity parameters
• scientific article; zbMATH DE number 5824008 (Why is no real title available?)
• Optimal control of diffusion coefficients via decoupling fields
• A note on costs minimization with stochastic target constraints

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