A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
AbstractWe 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
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1309.0461.
Date of creation: Sep 2013
Date of revision: Sep 2014
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Web page: http://arxiv.org/
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- Paulwin Graewe & Ulrich Horst & Eric S\'er\'e, 2013. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Papers 1309.0474, arXiv.org, revised Dec 2013.
- Jim Gatheral & Alexander Schied, 2011. "Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 353-368.
- Forsyth, P.A. & Kennedy, J.S. & Tse, S.T. & Windcliff, H., 2012. "Optimal trade execution: A mean quadratic variation approach," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(12), pages 1971-1991.
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