Abstracts

A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
Jinniao Qiu (Humboldt Universität zu Berlin, Germany)
Joint work with Jinniao Qiu and Paulwin Graewe

Thursday June 5, 14:00-14:30 | session 8.8 | Trading (Strategies) | room 1+2

We establish existence and regularity results for a class of backward stochastic partial differential equations with singular terminal condition. The equation describes the value function of a non-Markovian stochastic control optimal 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.