Optimal position targeting via decoupling fields
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Cites work
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 3206496 (Why is no real title available?)
- A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions
- BSDEs with Singular Terminal Condition and a Control Problem with Constraints
- Backward stochastic differential equations with random stopping time and singular final condition
- Backward stochastic differential equations with singular terminal condition
- Closedness results for BMO semi-martingales and application to quadratic BSDEs
- Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
- Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Forward-backward stochastic differential equations and their applications
- Forward-backward stochastic differential equations with mixed initial-terminal conditions
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Functional analysis, calculus of variations and optimal control
- Linear quadratic stochastic control problems with stochastic terminal constraint
- Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
- On linear, degenerate backward stochastic partial differential equations
- On non-Markovian forward-backward SDEs and backward stochastic PDEs
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- On well-posedness of forward-backward SDEs -- a unified approach
- Optimal Transportation Problem by Stochastic Optimal Control
- Optimal position targeting with stochastic linear-quadratic costs
- Optimal transportation under controlled stochastic dynamics
- Order book resilience, price manipulation, and the positive portfolio problem
- Solution of forward-backward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Weakly Differentiable Functions
Cited in
(8)- Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
- scientific article; zbMATH DE number 5824008 (Why is no real title available?)
- Optimal trade execution in an order book model with stochastic liquidity parameters
- Optimal control of diffusion coefficients via decoupling fields
- Asymptotic approach for backward stochastic differential equation with singular terminal condition
- Macroscopic market making games
- An FBSDE approach to market impact games with stochastic parameters
- A note on costs minimization with stochastic target constraints
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