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20132019
most citedNeutral Backward Stochastic Functional Differential Equations and Their Application

1 citations · 1 across the 3 of their papers we have counts for

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math.OC2019

Optimal Liquidation in Target Zone Models and Neumann Problem of Backward SPDEs with Singular Terminal Condition

Robert Elliott, Jinniao Qiu, Wenning Wei

We study the optimal liquidation problems in target zone models using dynamic programming methods. Such control problems allow for stochastic differential equations with reflection…