Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/315063 
Year of Publication: 
2024
Citation: 
[Journal:] Finance and Stochastics [ISSN:] 1432-1122 [Volume:] 28 [Issue:] 3 [Publisher:] Springer Berlin Heidelberg [Place:] Berlin/Heidelberg [Year:] 2024 [Pages:] 759-812
Publisher: 
Springer Berlin Heidelberg, Berlin/Heidelberg
Abstract: 
Abstract We consider an optimal liquidation problem with instantaneous price impact and stochastic resilience for small instantaneous impact factors. Within our modelling framework, the optimal portfolio process converges to the solution of an optimal liquidation problem with general semimartingale controls when the instantaneous impact factor converges to zero. Our results provide a unified framework within which to embed the two most commonly used modelling frameworks in the liquidation literature and provide a foundation for the use of semimartingale liquidation strategies and the use of portfolio processes of unbounded variation. Our convergence results are based on novel convergence results for BSDEs with singular terminal conditions and novel representation results of BSDEs in terms of uniformly continuous functions of forward processes.
Subjects: 
Portfolio liquidation
Singular BSDE
Stochastic liquidity
Singular control
Persistent Identifier of the first edition: 
Additional Information: 
G11;G12;G19
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version
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