most citedAsymptotic decomposition of solutions to parabolic equations with a random microstructure

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math.OC2026

Time discretization of BSDEs with singular terminal condition using asymptotic expansion

Thomas Kruse, Julia Ackermann, Alexandre Popier

We consider a class of backward stochastic differential equations (BSDEs) with singular terminal condition and develop a numerical scheme to approximate their solution. To this end…

math.OC2026

Matrix Riccati BSDEs with singular terminal condition and stochastic LQ control with linear terminal constraint

Julia Ackermann, Thomas Kruse, Petr Petrov +1

We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature…