SECOND-ORDER BSDE UNDER MONOTONICITY CONDITION AND LIQUIDATION PROBLEM UNDER UNCERTAINTY

• 成果类型: Article
• 署名作者: Popier, Alexandre; Zhou, Chao
• 署名单位: Le Mans Universite; National University of Singapore
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/18-AAP1435
• 发表日期: 2019
• 页码: 1685-1739
• 关键词: optimal trade execution; stochastic differential-equations; singular terminal condition; jumps; supersolutions; formulation; generator

摘要

In this work, we investigate an optimal liquidation problem under Knightian uncertainty. We obtain the value function and an optimal control characterised by the solution of a second-order BSDE with monotone generator and with a singular terminal condition.