The Annals of Applied Probability

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

Alexandre Popier and Chao Zhou

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

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1550566840

Digital Object Identifier
doi:10.1214/18-AAP1435

Mathematical Reviews number (MathSciNet)
MR3914554

Zentralblatt MATH identifier
07057464

Subjects
Primary: 60H10: Stochastic ordinary differential equations [See also 34F05] 60H30: Applications of stochastic analysis (to PDE, etc.) 93E20: Optimal stochastic control

Keywords
Optimal stochastic control second-order backward stochastic differential equation monotone generator singular terminal condition

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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