Optimal position targeting with stochastic linear-quadratic costs

DOI10.4064/bc104-0-1zbMath1328.49015OpenAlexW2314356572MaRDI QIDQ5245470

Stefan Ankirchner, Thomas Kruse

Publication date: 8 April 2015

Published in: Banach Center Publications (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9d8abf94cb32f14f0b14b04286e91db8db17135a

zbMATH Keywords

backward stochastic differential equationsfinancial mathematicsdynamic control problemlinear-quadratic cost functionaloptimal position targeting

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (10)

A note on costs minimization with stochastic target constraints ⋮ Asset pricing with general transaction costs: Theory and numerics ⋮ 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 ⋮ 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 ⋮ Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting

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