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Pré-Publication, Document De Travail Année : 2015

Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting

Résumé

We study the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value +∞ with positive probability. We deal with equations on a general filtered probability space and with generators satisfying a general monotonicity assumption. With this minimal supersolution we then solve an optimal stochastic control problem related to portfolio liquidation problems. We generalize the existing results in three directions: firstly there is no assumption on the underlying filtration (except completeness and quasi-left continuity), secondly we relax the terminal liquidation constraint and finally the time horizon can be random.
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Dates et versions

hal-01139364 , version 1 (04-04-2015)
hal-01139364 , version 2 (27-12-2015)

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T Kruse, A Popier. Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting. 2015. ⟨hal-01139364v2⟩
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