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

Alexandre Popier; Chao Zhou

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arXiv · 1712.10253

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

Alexandre Popier·Chao Zhou

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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.

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Alexandre Popier, Chao Zhou. 2017-12-29. Second order BSDE under monotonicity condition and liquidation problem under uncertainty *. https://arxiv.org/abs/1712.10253

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