Asymptotic approach for backward stochastic differential equation with singular terminal condition-Reference-Cited by-同舟云学术

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Asymptotic approach for backward stochastic differential equation with singular terminal condition

Published:2021-03 Issue: Volume:133 Page:247-277
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Graewe Paulwin,Popier Alexandre

Funder

Fédération de Recherche Mathématique des Pays de Loire

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference34 articles.

1. Optimal trading with stochastic liquidity and volatility;Almgren;SIAM J. Financial Math.,2012

2. Optimal execution of portfolio transactions;Almgren;J. Risk,2001

3. Optimal position targeting via decoupling fields;Ankirchner;Ann. Appl. Probab.,2020

4. BSDEs with singular terminal condition and a control problem with constraints;Ankirchner;SIAM J. Control Optim.,2014

5. Optimal position targeting with stochastic linear-quadratic costs;Ankirchner,2015

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