A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
Abstract
We establish existence, uniqueness and regularity of solution results for a class of backward stochastic partial differential equations with singular terminal condition. The equation describes the value function of non-Markovian stochastic optimal control problem in which the terminal state of the controlled process is pre-specified. The analysis of such control problems is motivated by models of optimal portfolio liquidation.
- Publication:
-
arXiv e-prints
- Pub Date:
- September 2013
- DOI:
- 10.48550/arXiv.1309.0461
- arXiv:
- arXiv:1309.0461
- Bibcode:
- 2013arXiv1309.0461G
- Keywords:
-
- Mathematics - Optimization and Control;
- Mathematics - Probability;
- Quantitative Finance - Trading and Market Microstructure;
- 93E20;
- 60H15;
- 91G80
- E-Print:
- SIAM J. Control Optim. 53 (2015) 690-711