We establish the existence, uniqueness, and regularity of solution results for a class of backward stochastic partial differential equations with singular terminal condition. The equation describes the value function of non-Markovian stochastic optimal control 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.
No takes yet. Share an insight, caveat, or question.
A 2015 study studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: