Second order BSDE under monotonicity condition and liquidation problem under uncertainty *

2017/12/29 by Alexandre Popier, Chao Zhou, Popier, Alexandre +1 · 3 citations
Decision Sciences · Economics, Econometrics and Finance · #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1712.10253

openalex publication_date 2017/12/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this work we investigate an optimal closure problem under Knightian uncertainty. We obtain the value function and an optimal control as the minimal (super-)solution of a second order BSDE with monotone generator and with a singular terminal condition.

Citations

• Foundations of Modern Probability
• Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting

Cited by

• Robust mean field control: an application to optimal execution under composite uncertainty
• 2BSDE with uncertain horizon and application to stochastic control in erratic environments
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