Malliavin derivative and sensitivity for optimal liquidation

Fuente: arXiv
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Main Authors: Popier, Alexandre, Denis, Laurent, Cacitti-Holland, Dorian
Format: Preprint
Published: 2025
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_version_ 1866915295101190144
author Popier, Alexandre
Denis, Laurent
Cacitti-Holland, Dorian
author_facet Popier, Alexandre
Denis, Laurent
Cacitti-Holland, Dorian
contents We prove that the solution of the backward stochastic differential equation with terminal singularity has a Malliavin derivative, which is the limit of the derivative of the approximating sequence. We also provide the asymptotic behavior of this derivative close to the terminal time. We apply this result to the regularity of the related partial differential equation and to the sensitivity of the liquidation problem.
format Preprint
id arxiv_https___arxiv_org_abs_2505_14287
institution arXiv
publishDate 2025
record_format arxiv
spellingShingle Malliavin derivative and sensitivity for optimal liquidation
Popier, Alexandre
Denis, Laurent
Cacitti-Holland, Dorian
Probability
We prove that the solution of the backward stochastic differential equation with terminal singularity has a Malliavin derivative, which is the limit of the derivative of the approximating sequence. We also provide the asymptotic behavior of this derivative close to the terminal time. We apply this result to the regularity of the related partial differential equation and to the sensitivity of the liquidation problem.
title Malliavin derivative and sensitivity for optimal liquidation
topic Probability
url https://arxiv.org/abs/2505.14287