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The analysis of such control problems is motivated by models of optimal portfolio liquidation.<\/jats:p>","DOI":"10.1137\/130944084","type":"journal-article","created":{"date-parts":[[2015,3,11]],"date-time":"2015-03-11T11:30:36Z","timestamp":1426073436000},"page":"690-711","source":"Crossref","is-referenced-by-count":47,"title":["A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions"],"prefix":"10.1137","volume":"53","author":[{"given":"Paulwin","family":"Graewe","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Ulrich","family":"Horst","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jinniao","family":"Qiu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2015,3,11]]},"reference":[{"key":"atypb1","doi-asserted-by":"publisher","DOI":"10.21314\/JOR.2001.041"},{"key":"atypb2","doi-asserted-by":"publisher","DOI":"10.1137\/130923518"},{"key":"atypb3","doi-asserted-by":"crossref","unstructured":"S. Ankirchner and T. Kruse,\n                      Price-Sensitive Liquidation in Continuous-Time\n                      , Social Science Research Network, http:\/\/ssrn.com\/abstract=1968430, 2012.","DOI":"10.2139\/ssrn.1968430"},{"key":"atypb4","doi-asserted-by":"publisher","DOI":"10.1016\/0016-0032(83)90059-5"},{"key":"atypb5","doi-asserted-by":"publisher","DOI":"10.1137\/070705726"},{"key":"atypb6","doi-asserted-by":"publisher","DOI":"10.1214\/EJP.v14-629"},{"key":"atypb7","doi-asserted-by":"publisher","DOI":"10.1007\/s00245-011-9154-9"},{"key":"atypb8","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2013.01.005"},{"key":"atypb9","doi-asserted-by":"publisher","DOI":"10.1137\/070686998"},{"key":"atypb10","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2012.05.007"},{"key":"atypb11","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024911006577"},{"key":"atypb12","unstructured":"P. Graewe, U. Horst, and E. Se\u0301re\u0301,\n                      Smooth solutions to portfolio liquidation problems under price-sensitive market impact\n                      , preprint, arXiv:1309.0474, 2013."},{"key":"atypb13","doi-asserted-by":"publisher","DOI":"10.1137\/110849341"},{"key":"atypb14","doi-asserted-by":"crossref","first-page":"321","DOI":"10.4310\/CIS.2006.v6.n4.a4","volume":"6","author":"Ji S.","year":"2008","journal-title":"Commun. Inf. Syst."},{"key":"atypb15","doi-asserted-by":"publisher","DOI":"10.1287\/moor.2014.0649"},{"key":"atypb16","unstructured":"P. Kratz and T. Scho\u0308neborn,\n                      Portfolio liquidation in dark pools in continuous time\n                      , Math. Finance; available online from http:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/mafi.12037\/full."},{"key":"atypb17","doi-asserted-by":"publisher","DOI":"10.1007\/s00440-010-0275-x"},{"key":"atypb18","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024903002122"},{"key":"atypb19","doi-asserted-by":"publisher","DOI":"10.1137\/0330018"},{"key":"atypb20","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2006.05.012"},{"key":"atypb21","unstructured":"J. Qiu,\n                      Backward Stochastic Differential Evolutionary Equations and Their Applications\n                      , Ph.D. thesis, Fudan University, Shanghai, 2012."},{"key":"atypb22","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfa.2011.12.002"},{"key":"atypb23","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfa.2014.08.023"},{"key":"atypb24","doi-asserted-by":"publisher","DOI":"10.1214\/12-AAP908"},{"key":"atypb25","doi-asserted-by":"publisher","DOI":"10.1137\/050641508"},{"key":"atypb26","doi-asserted-by":"publisher","DOI":"10.1137\/110850980"}],"container-title":["SIAM Journal on Control and Optimization"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/epubs.siam.org\/doi\/pdf\/10.1137\/130944084","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T13:01:18Z","timestamp":1787317278000},"score":1,"resource":{"primary":{"URL":"https:\/\/epubs.siam.org\/doi\/10.1137\/130944084"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015,1]]},"references-count":26,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2015,1]]}},"alternative-id":["10.1137\/130944084"],"URL":"https:\/\/doi.org\/10.1137\/130944084","relation":{},"ISSN":["0363-0129","1095-7138"],"issn-type":[{"value":"0363-0129","type":"print"},{"value":"1095-7138","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015,1]]}}}