BSDEs with Singular Terminal Condition and a Control Problem with Constraints
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Publication:5494901
DOI10.1137/130923518zbMath1306.60065arXiv1305.6541OpenAlexW2070311875MaRDI QIDQ5494901
Thomas Kruse, Stefan Ankirchner, Monique Jeanblanc-Picqué
Publication date: 30 July 2014
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1305.6541
maximum principlebackward stochastic differential equationoptimal liquidationsingular terminal conditionstochastic control with constraints
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
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