화학공학소재연구정보센터
SIAM Journal on Control and Optimization, Vol.53, No.2, 690-711, 2015
A NON-MARKOVIAN LIQUIDATION PROBLEM AND BACKWARD SPDES WITH SINGULAR TERMINAL CONDITIONS
We establish the 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 prespecified. The analysis of such control problems is motivated by models of optimal portfolio liquidation.