graewe.horst.ea:15:non-markovian¶
BibTeX Entry:
@article{graewe.horst.ea:15:non-markovian,
author = {Graewe, Paulwin and Horst, Ulrich and Qiu, Jinniao},
doi = {10.1137/130944084},
fjournal = {SIAM Journal on Control and Optimization},
issn = {0363-0129,1095-7138},
journal = {SIAM J. Control Optim.},
mrclass = {93E20 (60H15 91G80)},
mrnumber = {3319844},
mrreviewer = {Nicole\ B\"{a}uerle},
number = {2},
pages = {690--711},
title = {A non-{M}arkovian liquidation problem and backward {SPDE}s
with singular terminal conditions},
url = {https://doi.org/10.1137/130944084},
volume = {53},
year = {2015}
}