Stochastic Maximum Principle for Optimal Liquidation with Control-Dependent Terminal Time

被引：0
作者：
Riccardo Cesari
Harry Zheng
机构：
[1] Imperial College,Department of Mathematics
来源：
Applied Mathematics & Optimization | 2022年 / 85卷
关键词：
Stochastic maximum principle; Control-dependent terminal time; Optimal liquidation; Variational analysis; Backwards stochastic differential equations; 49K45; 91G80; 93E20;
D O I：
暂无
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学科分类号：
摘要：
In this paper we study a general optimal liquidation problem with a control-dependent stopping time which is the first time the stock holding becomes zero or a fixed terminal time, whichever comes first. We prove a stochastic maximum principle (SMP) which is markedly different in its Hamiltonian condition from that of the standard SMP with fixed terminal time. We present a simple example in which the optimal solution satisfies the SMP in this paper but fails the standard SMP in the literature.
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