"A System of BSDEs with Singular Terminal Values Arising in Optimal ..."

Guanxing Fu, Xiaomin Shi, Zuo Quan Xu (2025)

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DOI: 10.1137/25M1723529

access: closed

type: Journal Article

metadata version: 2025-10-06

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Guanxing Fu, Xiaomin Shi, Zuo Quan Xu:
A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching. SIAM J. Control. Optim. 63(5): 3091-3111 (2025)

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