A note on costs minimization with stochastic target constraints

DOI10.1214/20-ECP295zbMath1440.49023arXiv1907.02429MaRDI QIDQ2183107

Benjamin Gottesman, Yan Dolinsky, Ori Gurel-Gurevich

Publication date: 26 May 2020

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.02429

zbMATH Keywords

backward stochastic differential equationsoptimal stochastic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Existence theories for optimal control problems involving ordinary differential equations (49J15) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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Cites Work

• A control problem with fuel constraint and Dawson-Watanabe superprocesses
• Hedging with temporary price impact
• 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
• Optimal position targeting via decoupling fields
• Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint
• Optimal position targeting with stochastic linear-quadratic costs
• A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
• BSDEs with Singular Terminal Condition and a Control Problem with Constraints

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