Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
DOI10.1016/j.spa.2016.02.010zbMath1344.60057arXiv1504.01150OpenAlexW2962735080MaRDI QIDQ737168
Alexandre Popier, Thomas Kruse
Publication date: 8 August 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.01150
backward stochastic differential equationsoptimal stochastic control problemportfolio liquidationminimal supersolutionssingular terminal condition
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Existence of optimal solutions to problems involving randomness (49J55)
Related Items (23)
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