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Ulrich Horst
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2020 – today
- 2022
- [j20]Paulwin Graewe, Ulrich Horst, Ronnie Sircar:
A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption. SIAM J. Control. Optim. 60(5): 3173-3190 (2022) - 2021
- [j19]Guanxing Fu
, Paulwin Graewe, Ulrich Horst
, Alexandre Popier
:
A Mean Field Game of Optimal Portfolio Liquidation. Math. Oper. Res. 46(4): 1250-1281 (2021) - 2020
- [j18]Guanxing Fu
, Ulrich Horst:
Mean-Field Leader-Follower Games with Terminal State Constraint. SIAM J. Control. Optim. 58(4): 2078-2113 (2020)
2010 – 2019
- 2019
- [j17]Ulrich Horst, Wei Xu:
A Scaling Limit for Limit Order Books Driven by Hawkes Processes. SIAM J. Financial Math. 10(2): 350-393 (2019) - 2018
- [j16]Ulrich Horst, Dörte Kreher:
Second order approximations for limit order books. Finance Stochastics 22(4): 827-877 (2018) - 2017
- [j15]Ulrich Horst, Michael Paulsen:
A Law of Large Numbers for Limit Order Books. Math. Oper. Res. 42(4): 1280-1312 (2017) - [j14]Paulwin Graewe, Ulrich Horst:
Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. SIAM J. Control. Optim. 55(6): 3707-3725 (2017) - [j13]Guanxing Fu
, Ulrich Horst:
Mean Field Games with Singular Controls. SIAM J. Control. Optim. 55(6): 3833-3868 (2017) - [j12]Ulrich Horst, Dörte Kreher:
A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics. SIAM J. Financial Math. 8(1): 314-343 (2017) - 2016
- [j11]Françoise Forges, Ulrich Horst, Antoine Salomon:
Feasibility and individual rationality in two-person Bayesian games. Int. J. Game Theory 45(1-2): 11-36 (2016) - [j10]Patrick Cheridito, Ulrich Horst, Michael Kupper, Traian A. Pirvu
:
Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences. Math. Oper. Res. 41(1): 174-195 (2016) - [j9]Ulrich Horst, Jinniao Qiu, Qi Zhang:
A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition. SIAM J. Control. Optim. 54(2): 946-963 (2016) - [j8]Julio Backhoff
, Ulrich Horst:
Conditional Analysis and a Principal-Agent Problem. SIAM J. Financial Math. 7(1): 477-507 (2016) - 2015
- [j7]Paulwin Graewe, Ulrich Horst, Jinniao Qiu:
A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions. SIAM J. Control. Optim. 53(2): 690-711 (2015) - 2014
- [j6]Ulrich Horst, Felix Naujokat:
When to Cross the Spread? Trading in Two-Sided Limit Order Books. SIAM J. Financial Math. 5(1): 278-315 (2014)
2000 – 2009
- 2007
- [j5]Ulrich Horst, Matthias Müller:
On the Spanning Property of Risk Bonds Priced by Equilibrium. Math. Oper. Res. 32(4): 784-807 (2007) - [i1]Ulrich Horst, Santiago Moreno-Bromberg:
Risk Minimization and Optimal Derivative Design in a Principal Agent Game. CoRR abs/0710.5512 (2007) - 2006
- [j4]Alberto Bisin, Ulrich Horst, Onur Özgür:
Rational expectations equilibria of economies with local interactions. J. Econ. Theory 127(1): 74-116 (2006) - [j3]Ulrich Horst, José A. Scheinkman:
Equilibria in systems of social interactions. J. Econ. Theory 130(1): 44-77 (2006) - [j2]Erhan Bayraktar
, Ulrich Horst, Ronnie Sircar:
A Limit Theorem for Financial Markets with Inert Investors. Math. Oper. Res. 31(4): 789-810 (2006) - 2005
- [j1]Ulrich Horst:
Stationary equilibria in discounted stochastic games with weakly interacting players. Games Econ. Behav. 51(1): 83-108 (2005)
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