## The Annals of Applied Probability

### Second-order BSDE under monotonicity condition and liquidation problem under uncertainty

#### 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.

#### Article information

Source
Ann. Appl. Probab., Volume 29, Number 3 (2019), 1685-1739.

Dates
Revised: August 2018
First available in Project Euclid: 19 February 2019

https://projecteuclid.org/euclid.aoap/1550566840

Digital Object Identifier
doi:10.1214/18-AAP1435

Mathematical Reviews number (MathSciNet)
MR3914554

Zentralblatt MATH identifier
07057464

#### Citation

Popier, Alexandre; Zhou, Chao. Second-order BSDE under monotonicity condition and liquidation problem under uncertainty. Ann. Appl. Probab. 29 (2019), no. 3, 1685--1739. doi:10.1214/18-AAP1435. https://projecteuclid.org/euclid.aoap/1550566840

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