A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
نویسندگان
چکیده
We establish existence, uniqueness and regularity of solution results for a class of backward stochastic partial differential equations with singular terminal condition. The equation describes the value function of non-Markovian stochastic optimal control problem in which the terminal state of the controlled process is pre-specified. The analysis of such control problems is motivated by models of optimal portfolio liquidation. AMS Subject Classification: 93E20, 60H15, 91G80
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ورودعنوان ژورنال:
- SIAM J. Control and Optimization
دوره 53 شماره
صفحات -
تاریخ انتشار 2015