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math.PR2018
Second order stochastic target problems with generalized market impact
Bruno Bouchard, Grégoire Loeper, Halil Mete Soner +1
We extend the study of [7, 18] to stochastic target problems with general market impacts. Namely, we consider a general abstract model which can be associated to a fully nonlinear…
math.PR2017★ 1 cited
Second order BSDE under monotonicity condition and liquidation problem under uncertainty *
Alexandre Popier, Chao Zhou
In this work we investigate an optimal closure problem under Knightian uncertainty. We obtain the value function and an optimal control as the minimal (super-)solution of a second…