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

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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)

Cites Work

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Cited In (6)

• Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
• Title not available (Why is that?)
• Asymptotic approach for backward stochastic differential equation with singular terminal condition
• An FBSDE approach to market impact games with stochastic parameters
• A note on costs minimization with stochastic target constraints
• Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters

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