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

详细信息    查看全文

• 作者：T. Kruse^a ; ^{thomas.kruse@uni-due.de" class="auth_mail" title="E-mail the corresponding author} ; A. Popier^b ; ^{alexandre.popier@univ-lemans.fr" class="auth_mail" title="E-mail the corresponding author}
• 关键词：60H10 ; 93E20 ; 91G80
• 刊名：Stochastic Processes and their Applications
• 出版年：2016
• 出版时间：September 2016
• 年：2016
• 卷：126
• 期：9
• 页码：2554-2592
• 全文大小：455 K

文摘

We study the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value 916000417&_mathId=si1.gif&_user=111111111&_pii=S0304414916000417&_rdoc=1&_issn=03044149&md5=7e4b73906c578d8aa2d53b3cca5c4968" title="Click to view the MathML source">+∞$+\infty$ 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.