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"A Non-Markovian Liquidation Problem and Backward SPDEs with Singular ..."

Paulwin Graewe, Ulrich Horst, Jinniao Qiu (2015)

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DOI: 10.1137/130944084

access: closed

type: Journal Article

metadata version: 2020-07-09

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Paulwin Graewe, Ulrich Horst, Jinniao Qiu:
A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions. SIAM J. Control. Optim. 53(2): 690-711 (2015)

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