Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting

2016/03/09 by T. Kruse, A. Popier · 8 citations
Economics, Econometrics and Finance · Social Sciences · Decision Sciences · #Stochastic processes and financial applications #Insurance, Mortality, Demography, Risk Management #Risk and Portfolio Optimization

paper · doi:10.1016/j.spa.2016.02.010

Cited by

• Multi-Asset Liquidation in Dark Pools with Adverse Selection
• Mean-Field Leader-Follower Games with Terminal State Constraint
• Asymptotic approach for backward stochastic differential equation with singular terminal condition *
• Robust mean field control: an application to optimal execution under composite uncertainty
• Extended mean field games with terminal constraint via decoupling fields
• 2BSDE with uncertain horizon and application to stochastic control in erratic environments
• Second order BSDE under monotonicity condition and liquidation problem under uncertainty *
• Malliavin derivative and sensitivity for optimal liquidation