英文标题：
《A Non-Markovian Liquidation Problem and Backward SPDEs with Singular
Terminal Conditions》
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作者：
Paulwin Graewe, Ulrich Horst, Jinniao Qiu
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最新提交年份：
2015
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英文摘要：
We establish 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 pre-specified. The analysis of such control problems is motivated by models of optimal portfolio liquidation.
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中文摘要：
建立了一类具有奇异终端条件的倒向随机偏微分方程解的存在性、唯一性和正则性。非马尔可夫过程的最优状态描述为非马尔可夫过程的最优控制。对此类控制问题的分析是基于最优投资组合清算模型的。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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