Second order BSDE under monotonicity condition and liquidation problem under uncertainty *
Probability
2018-01-01 v1 Optimization and Control
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.
Keywords
Cite
@article{arxiv.1712.10253,
title = {Second order BSDE under monotonicity condition and liquidation problem under uncertainty *},
author = {Alexandre Popier and Chao Zhou},
journal= {arXiv preprint arXiv:1712.10253},
year = {2018}
}