相关论文: Minimal supersolutions for BSDEs with singular ter…
We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature non-diffusive controlled state dynamics and a terminal…
In this paper, we first prove existence and uniqueness of the solution of a backward doubly stochastic differential equation (BDSDE) and of the related stochastic partial differential equation (SPDE) under monotonicity assumption on the…
We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with generators that are jointly lower semicontinuous, bounded below by an affine function of the control variable and satisfy a…
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…
We study a class of nonlinear BSDEs with a superlinear driver process f adapted to a filtration F and over a random time interval [[0, S]] where S is a stopping time of F. The terminal condition $\xi$ is allowed to take the value +$\infty$,…
We study supersolutions of a backward stochastic differential equation, the control processes of which are constrained to be continuous semimartingales of the form $dZ = {\Delta}dt + {\Gamma}dW$. The generator may depend on the…
We study the behaviour at the terminal time T of the minimal solution of a backward stochastic differential equation when the terminal data can take the value +$\infty$ with positive probability. In a previous paper, we have proved…
We study the optimal liquidation problems in target zone models using dynamic programming methods. Such control problems allow for stochastic differential equations with reflections and random coefficients. The value function is…
We study the nonlinear operator of mapping the terminal value $\xi$ to the corresponding minimal supersolution of a backward stochastic differential equation with the generator being monotone in $y$, convex in $z$, jointly lower…
We provide a probabilistic solution of a not necessarily Markovian control problem with a state constraint by means of a Backward Stochastic Differential Equation (BSDE). The novelty of our solution approach is that the BSDE possesses a…
We study the existence of minimal supersolutions of BSDEs under a family of mutually singular probability measures. We consider generators that are jointly lower semicontinuous, positive, and either convex in the control variable and…
We introduce a new class of Backward Stochastic Differential Equations in which the $T$-terminal value $Y_{T}$ of the solution $(Y,Z)$ is not fixed as a random variable, but only satisfies a weak constraint of the form $E[\Psi(Y_{T})]\ge…
We consider a class of backward stochastic differential equations (BSDEs) with singular terminal condition and develop a numerical scheme to approximate their solution. To this end, we extend an asymptotic development of the BSDE solution…
We consider backward stochastic differential equations (BSDEs) related to finite state, continuous time Markov chains. We show that appropriate solutions exist for arbitrary terminal conditions, and are unique up to sets of measure zero. We…
We study a linear quadratic optimal control problem with stochastic coefficients and a terminal state constraint, which may be in force merely on a set with positive, but not necessarily full probability. Under such a partial terminal…
We study a constrained optimal control problem with possibly degenerate coefficients arising in models of optimal portfolio liquidation under market impact. The coefficients can be random in which case the value function is described by a…
The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position be fully closed by terminal time. Since the asset price is…
We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the terminal value of a forward stochastic differential equation.…
We study a stochastic control problem with regime switching arising in an optimal liquidation problem with dark pools and multiple regimes. The new feature of this model is that it introduces a system of BSDEs with jumps and with singular…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…