A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
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.
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- Paulwin Graewe & Ulrich Horst & Eric S\'er\'e, 2013.
"Smooth solutions to portfolio liquidation problems under price-sensitive market impact,"
1309.0474, arXiv.org, revised Jun 2017.
- Paulwin Graewe & Ulrich Horst & Eric Séré, 2017. "Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact ," Post-Print hal-01540537, HAL.
- 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, vol. 36(12), pages 1971-1991.
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