A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching
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arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| _version_ | 1866910788929716224 |
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| author | Fu, Guanxing Shi, Xiaomin Xu, Zuo Quan |
| author_facet | Fu, Guanxing Shi, Xiaomin Xu, Zuo Quan |
| contents | We study a stochastic control problem with regime switching arising in an optimal liquidation problem with dark pools and multiple regimes. The new feature of this model is that it introduces a system of BSDEs with jumps and with singular terminal values, which appears in literature for the first time. The existence result for this system is obtained. As a result, we solve the stochastic control problem with regime switching. More importantly, the uniqueness result of this system is also obtained, in contrast to merely minimal solutions established in most related literature. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_19058 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching Fu, Guanxing Shi, Xiaomin Xu, Zuo Quan Mathematical Finance Optimization and Control Probability We study a stochastic control problem with regime switching arising in an optimal liquidation problem with dark pools and multiple regimes. The new feature of this model is that it introduces a system of BSDEs with jumps and with singular terminal values, which appears in literature for the first time. The existence result for this system is obtained. As a result, we solve the stochastic control problem with regime switching. More importantly, the uniqueness result of this system is also obtained, in contrast to merely minimal solutions established in most related literature. |
| title | A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching |
| topic | Mathematical Finance Optimization and Control Probability |
| url | https://arxiv.org/abs/2412.19058 |