A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions

DOI10.1137/130944084zbMath1312.93112arXiv1309.0461OpenAlexW3105216921MaRDI QIDQ5252499

Paulwin Graewe, Jinniao Qiu, Ulrich Horst

Publication date: 2 June 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.0461

zbMATH Keywords

stochastic controlbackward stochastic partial differential equationportfolio liquidationsingular terminal value

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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