Second order BSDE under monotonicity condition and liquidation problem under uncertainty *
Résumé
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 order BSDE with monotone generator and with a singular terminal condition.
| Origine | Fichiers produits par l'(les) auteur(s) |
|---|
Loading...