Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint

DOI10.1137/16M1104597zbMath1387.93180arXiv1611.06830MaRDI QIDQ4604636

Peter Bank, Moritz Voß

Publication date: 5 March 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.06830

zbMATH Keywords

optimal trackinglinear quadratic controlbackward stochastic Riccati differential equationoptimal signal processstochastic terminal constraint

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (13)

Equilibrium returns with transaction costs ⋮ Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting ⋮ A note on costs minimization with stochastic target constraints ⋮ Liquidity in competitive dealer markets ⋮ Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact ⋮ Portfolio liquidation games with self‐exciting order flow ⋮ Optimal position targeting via decoupling fields ⋮ Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models ⋮ Asymptotic approach for backward stochastic differential equation with singular terminal condition ⋮ Equilibrium asset pricing with transaction costs ⋮ 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 ⋮ Optimal Investment with Transient Price Impact

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