Asymptotic approach for backward stochastic differential equation with singular terminal condition
From MaRDI portal
Publication:1994916
DOI10.1016/j.spa.2020.12.004zbMath1454.60077arXiv1906.05154OpenAlexW3113953391WikidataQ115341125 ScholiaQ115341125MaRDI QIDQ1994916
Alexandre Popier, Paulwin Graewe
Publication date: 18 February 2021
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.05154
asymptotic approachbackward stochastic differential equationsingular terminal conditionsingular generator
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Optimal trade execution: a mean quadratic variation approach
- A control problem with fuel constraint and Dawson-Watanabe superprocesses
- Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition
- Adapted solution of a backward stochastic differential equation
- Smooth solutions to portfolio liquidation problems under price-sensitive market impact
- Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
- Backward stochastic differential equations with singular terminal condition
- \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
- Continuous-time stochastic control and optimization with financial applications
- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
- Continuous exponential martingales and BMO
- Optimal position targeting via decoupling fields
- Backward stochastic differential equations with random stopping time and singular final condition
- Stochastic differential equations, backward SDEs, partial differential equations
- \(L^p\) solutions of backward stochastic differential equations.
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- When to Cross the Spread? Trading in Two-Sided Limit Order Books
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Stochastic Finance
- A Note on BSDEs with Singular Driver Coefficients
- The Malliavin Calculus and Related Topics
- Backward Stochastic Differential Equations in Finance
- Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint
- Optimal Trading with Stochastic Liquidity and Volatility
- Optimal position targeting with stochastic linear-quadratic costs
- A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
- PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME
- Risk Aversion in the Small and in the Large
- BSDEs with Singular Terminal Condition and a Control Problem with Constraints
