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

Alexandre Popier · Chao Zhou

18 citations0/0 files storedThe Annals of Applied Probability

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Stochastic processes and financial applications Risk and Portfolio Optimization Fuzzy Systems and Optimization

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.

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2001Optimal execution of portfolio transactions 2003Lp solutions of backward stochastic differential equations 2011Wellposedness of second order backward SDEs 2014Stochastic Differential Equations, Backward SDEs, Partial Differential Equations 2011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK 1995On pathwise stochastic integration 2011Quasi-sure Stochastic Analysis through Aggregation 2012Optimal trade execution: A mean quadratic variation approach

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