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A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
8 references·6 citing·38 second hop
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References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1992Stochastic Hamilton–Jacobi–Bellman Equations307 cited
  • 2011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK204 cited
  • 2012Optimal trade execution: A mean quadratic variation approach160 cited
  • 2006A maximum principle for stochastic optimal control with terminal state constraints, and its applications87 cited
  • 2010On the Itô–Wentzell formula for distribution-valued processes and related topics81 cited
  • 2009Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs74 cited
  • 2014BSDEs with Singular Terminal Condition and a Control Problem with Constraints68 cited

Cited by

  • 2017Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience45 cited
  • 2016Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting45 cited
  • 2017Smooth solutions to portfolio liquidation problems under price-sensitive market impact44 cited
  • 2022Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact42 cited
  • 2018A Mean Field Game of Optimal Portfolio Liquidation *41 cited
  • 2018Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint

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30 cited