A control problem with fuel constraint and Dawson-Watanabe superprocesses
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Publication:389072
DOI10.1214/12-AAP908zbMATH Open1288.60100arXiv1207.5809OpenAlexW2026656088MaRDI QIDQ389072FDOQ389072
Publication date: 17 January 2014
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We solve a class of control problems with fuel constraint by means of the log-Laplace transforms of -functionals of Dawson-Watanabe superprocesses. This solution is related to the superprocess solution of quasilinear parabolic PDEs with singular terminal condition. For the probabilistic verification proof, we develop sharp bounds on the blow-up behavior of log-Laplace functionals of -functionals, which might be of independent interest.
Full work available at URL: https://arxiv.org/abs/1207.5809
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optimal stochastic controlsuperprocessoptimal trade execution\(J\)-functionalfuel constraintlog-Laplace equation
Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Stochastic integral equations (60H20) Superprocesses (60J68)
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Cited In (21)
- Markovian integral equations
- Optimal portfolio liquidation with additional information
- Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
- Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint
- Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
- Optimal portfolio liquidation in target zone models and catalytic superprocesses
- Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
- Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone
- Smooth solutions to portfolio liquidation problems under price-sensitive market impact
- Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint
- Asymptotic approach for backward stochastic differential equation with singular terminal condition
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- An FBSDE approach to market impact games with stochastic parameters
- Continuity problem for BSDE and IPDE with singular terminal condition
- Incorporating signals into optimal trading
- A note on costs minimization with stochastic target constraints
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Probabilistic aspects of finance
- Optimal solution of the liquidation problem under execution and price impact risks
- Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters
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