# Optimal position targeting with stochastic linear-quadratic costs

@article{Ankirchner2015OptimalPT, title={Optimal position targeting with stochastic linear-quadratic costs}, author={Stefan Ankirchner and Thomas Kruse}, journal={Banach Center Publications}, year={2015}, volume={104}, pages={9-24} }

We consider the dynamic control problem of attaining a target position at a finite time T , while minimizing a linear-quadratic cost functional depending on the position and speed. We assume that the coefficients of the linearquadratic cost functional are stochastic processes adapted to a Brownian filtration. We provide a probabilistic solution in terms of two coupled backward stochastic differential equations possessing a singularity at the terminal time T . We verify optimality of the…

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