相关论文: Minimal supersolutions for BSDEs with singular ter…

In [Stochastc Process. Appl., 122(9):3173-3208], the author proved the existence and the uniqueness of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition when the generator and the terminal condition are…

We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on the loss process. We propose a risk model with claim arrival…

This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…

In this paper we study a general optimal liquidation problem with a control-dependent stopping time which is the first time the stock holding becomes zero or a fixed terminal time, whichever comes first. We prove a stochastic maximum…

A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…

The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this…

In a Markovian framework, we consider the problem of finding the minimal initial value of a controlled process allowing to reach a stochastic target with a given level of expected loss. This question arises typically in approximate hedging…

We study a robust maximization problem from terminal wealth and consumption under a convex constraints on the portfolio. We state the existence and the uniqueness of the consumption-investment strategy by studying the associated quadratic…

The optimal stopping problem is one of the core problems in financial markets, with broad applications such as pricing American and Bermudan options. The deep BSDE method [Han, Jentzen and E, PNAS, 115(34):8505-8510, 2018] has shown great…

In [1] we consider an optimal control problem subject to a semilinear elliptic PDE together with its variational discretization, where we provide a condition which allows to decide whether a solution of the necessary first order conditions…

In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of the solution in infinite horizon. We show that the new BSDEs…

In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…

In this paper, we show that the minimal solution of a backward stochastic differential equation gives a probabilistic representation of the minimal viscosity solution of an integro-partial differential equation both with a singular terminal…

We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can…

We obtain existence and uniqueness in L^p, p>1 of the solutions of a backward stochastic differential equations (BSDEs for short) driven by a marked point process, on a bounded interval. We show that the solution of the BSDE can be…

We consider a mean field game (MFG) of optimal portfolio liquidation under asymmetric information. We prove that the solution to the MFG can be characterized in terms of a FBSDE with possibly singular terminal condition on the backward…

We investigate the optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted information about the loss process. We maximize expected exponential utility of terminal wealth…

We discuss an open-loop backward Stackelberg differential game involving single leader and single follower. Unlike most Stackelberg game literature, the state to be controlled is characterized by a backward stochastic differential equation…

In this paper, we investigate an optimal control problem with terminal stochastic linear complementarity constraints (SLCC), and its discrete approximation using the relaxation, the sample average approximation (SAA) and the implicit Euler…

We study Backward Stochastic Differential Equations on a probability space equipped with a Brownian filtration. We assume that the terminal value and the generator at zero are merely integrable. Moreover, the generator is assumed to be…