Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting

Autor:	Kruse, T, Popier, A
Rok vydání:	2015
Předmět:	Mathematics - Probability Mathematics - Optimization and Control Quantitative Finance - Computational Finance
Druh dokumentu:	Working Paper
Popis:	We study the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value +$\infty$ with positive probability. We deal with equations on a general filtered probability space and with generators satisfying a general monotonicity assumption. With this minimal supersolution we then solve an optimal stochastic control problem related to portfolio liquidation problems. We generalize the existing results in three directions: firstly there is no assumption on the underlying filtration (except completeness and quasi-left continuity), secondly we relax the terminal liquidation constraint and finally the time horizon can be random.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1504.01150 Zobrazit plný text záznamu View this record from Arxiv