A control problem with fuel constraint and Dawson-Watanabe superprocesses

DOI10.1214/12-AAP908zbMATHOpenAlexMaRDI QIDQ389072FDO

Authors Alexander Schied

Publication date 17 January 2014

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

Full work available at URL https://arxiv.org/abs/1207.5809

zbMATH Keywords

optimal stochastic controlsuperprocessoptimal trade execution\(J\)-functionalfuel constraintlog-Laplace equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Stochastic integral equations (60H20) Superprocesses (60J68)

Abstract: We solve a class of control problems with fuel constraint by means of the log-Laplace transforms of $J$-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 $J$-functionals, which might be of independent interest.

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Cited in

(21)

• Asymptotic approach for backward stochastic differential equation with singular terminal condition
• An FBSDE approach to market impact games with stochastic parameters
• Markovian integral equations
• Optimal trade execution with instantaneous price impact and stochastic resilience
• Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint
• Linear quadratic stochastic control problems with stochastic terminal constraint
• Optimal portfolio liquidation in target zone models and catalytic superprocesses
• Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
• A functional Itō-formula for Dawson-Watanabe superprocesses
• Optimal solution of the liquidation problem under execution and price impact risks
• Smooth solutions to portfolio liquidation problems under price-sensitive market impact
• Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone
• Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
• Probabilistic aspects of finance
• Optimal portfolio liquidation with additional information
• Continuity problem for BSDE and IPDE with singular terminal condition
• Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
• Incorporating signals into optimal trading
• Optimal trade execution in an order book model with stochastic liquidity parameters
• A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions
• A note on costs minimization with stochastic target constraints

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