Second order BSDE under monotonicity condition and liquidation problem under uncertainty *

Alexandre Popier (1) , Chao Zhou (2)

1 LMM - Laboratoire Manceau de Mathématiques
2 Department of Mathematics [Singapore]

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.

Keywords: optimal stochastic control; second order backward stochastic differential equation; monotone generator; singular terminal condition

Domains: Probability [math.PR]; Optimization and Control [math.OC]

Alexandre Popier, Chao Zhou. Second order BSDE under monotonicity condition and liquidation problem under uncertainty *. 2017. ⟨hal-01670329⟩