Abstract
In this work, we investigate an optimal liquidation problem under Knightian uncertainty. We obtain the value function and an optimal control characterised by the solution of a second-order BSDE with monotone generator and with a singular terminal condition.
Citation
Alexandre Popier. Chao Zhou. "Second-order BSDE under monotonicity condition and liquidation problem under uncertainty." Ann. Appl. Probab. 29 (3) 1685 - 1739, June 2019. https://doi.org/10.1214/18-AAP1435
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