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A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions

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 optimal control problem in which the terminal state of the controlled process is pre-specified. The analysis of such control problems is motivated by models of optimal portfolio liquidation.

preprint2015arXivOpen access
Paulwin GraeweUlrich HorstJinniao Qiu
math.OCmath.PRq-fin.TR
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Paulwin GraeweUlrich HorstJinniao Qiu

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