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arXiv · 1309.0461

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

Paulwin Graewe·Ulrich Horst·Jinniao Qiu
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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.

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Paulwin Graewe, Ulrich Horst, Jinniao Qiu. 2013-09-02. A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions. https://doi.org/10.1137/130944084

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