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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Year of publication:	2013-09
Authors:	Graewe, Paulwin ; Horst, Ulrich ; Qiu, Jinniao
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	Published in SIAM J. Control Optim. 53 (2015) 690-711
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011274341