金融工程研究中心学术报告:Long Time Behavior of Optimal Liquidation Problems

报 告 人:夏笑女  博士  温州大学

报告时间:2024.01.21(周日) 10:00-11:30

报告地点:金融工程研究中心105

报告摘要:

In this paper, we study the long time behavior of an optimal liquidation problem with semimartingale strategies and external flows. To investigate the limit rigorously, we express the value function and the optimal state in terms of solutions to BSDEs on [0,T]. Then we study the long time limit of the value function and the optimal state by studying the convergence of the BSDEs as T goes to infinity. Moreover, we find that in a long run the investor does not liquidate her/his assets but instead exhibits fluctuations around zero due to the existence of external flow.

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https://slxy.wzu.edu.cn/xxn.pdf

 

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