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

zbMATH Keywords

backward stochastic differential equationsoptimal stochastic control problemportfolio liquidationminimal supersolutionssingular terminal condition

Mathematics Subject Classification ID

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)

Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone ⋮ Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting ⋮ L^p-solution for BSDEs with jumps in the casep<2 ⋮ A note on costs minimization with stochastic target constraints ⋮ Portfolio liquidation games with self‐exciting order flow ⋮ Limit behaviour of BSDE with jumps and with singular terminal condition ⋮ Optimal position targeting via decoupling fields ⋮ Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience ⋮ Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint ⋮ Ong−evaluations with domains under jump filtration ⋮ Continuity problem for singular BSDE with random terminal time ⋮ Backward stochastic differential equations with non-Markovian singular terminal values ⋮ Mean-Field Leader-Follower Games with Terminal State Constraint ⋮ Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models ⋮ Asymptotic approach for backward stochastic differential equation with singular terminal condition ⋮ \(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration ⋮ \(L^p\) solution of backward stochastic differential equations driven by a marked point process ⋮ Multi-dimensional optimal trade execution under stochastic resilience ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters ⋮ Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration ⋮ Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint ⋮ A Mean Field Game of Optimal Portfolio Liquidation ⋮ Integro-partial differential equations with singular terminal condition

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