A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions

Paulwin Graewe, Ulrich Horst and Jinniao Qiu

Papers from arXiv.org

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.

Date: 2013-09, Revised 2015-01
New Economics Papers: this item is included in nep-ore
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Published in SIAM J. Control Optim. 53 (2015) 690-711

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