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A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions

Citations

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Cited by:

  1. Paulwin Graewe & Ulrich Horst, 2016. "Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience," Papers 1611.03435, arXiv.org, revised Jul 2017.
  2. Samuel Drapeau & Peng Luo & Alexander Schied & Dewen Xiong, 2019. "An FBSDE approach to market impact games with stochastic parameters," Papers 2001.00622, arXiv.org.
  3. Ulrich Horst & Xiaonyu Xia, 2019. "Multi-dimensional optimal trade execution under stochastic resilience," Finance and Stochastics, Springer, vol. 23(4), pages 889-923, October.
  4. Kruse, T. & Popier, A., 2016. "Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2554-2592.
  5. M. Alessandra Crisafi & Andrea Macrina, 2015. "Dark-Pool Perspective of Optimal Market Making," Papers 1502.02863, arXiv.org.
  6. Max O. Souza & Yuri Thamsten, 2021. "On regularized optimal execution problems and their singular limits," Papers 2101.02731, arXiv.org, revised Aug 2023.
  7. Ulrich Horst & Xiaonyu Xia, 2018. "Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint," Papers 1809.01972, arXiv.org, revised Apr 2020.
  8. Guanxing Fu & Ulrich Horst, 2018. "Mean-Field Leader-Follower Games with Terminal State Constraint," Papers 1809.04401, arXiv.org.
  9. Guanxing Fu & Paul P. Hager & Ulrich Horst, 2023. "Mean-Field Liquidation Games with Market Drop-out," Papers 2303.05783, arXiv.org, revised Sep 2023.
  10. Fu, Guanxing & Horst, Ulrich & Xia, Xiaonyu, 2022. "Portfolio Liquidation Games with Self-Exciting Order Flow," Rationality and Competition Discussion Paper Series 327, CRC TRR 190 Rationality and Competition.
  11. Ulrich Horst & Evgueni Kivman, 2021. "Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies," Papers 2103.05957, arXiv.org, revised Jul 2023.
  12. Ulrich Horst & Evgueni Kivman, 2024. "Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies," Finance and Stochastics, Springer, vol. 28(3), pages 759-812, July.
  13. Cebiroğlu, Gökhan & Horst, Ulrich, 2015. "Optimal order display in limit order markets with liquidity competition," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 81-100.
  14. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2020. "Optimal trade execution in an order book model with stochastic liquidity parameters," Papers 2006.05843, arXiv.org, revised Apr 2021.
  15. Guanxing Fu & Xiaomin Shi & Zuo Quan Xu, 2024. "A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching," Papers 2412.19058, arXiv.org, revised Jan 2025.
  16. Yan, Tingjin & Chiu, Mei Choi & Wong, Hoi Ying, 2023. "Portfolio liquidation with delayed information," Economic Modelling, Elsevier, vol. 126(C).
  17. Graewe, Paulwin & Horst, Ulrich & Séré, Eric, 2018. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 979-1006.
  18. Horst, Ulrich & Xia, Xiaonyu & Zhou, Chao, 2021. "Portfolio Liquidation under Factor Uncertainty," Rationality and Competition Discussion Paper Series 274, CRC TRR 190 Rationality and Competition.
  19. Fu, Guanxing & Horst, Ulrich, 2018. "Mean-Field Leader-Follower Games with Terminal State Constraint," Rationality and Competition Discussion Paper Series 129, CRC TRR 190 Rationality and Competition.
  20. Elliott, Robert & Qiu, Jinniao & Wei, Wenning, 2022. "Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 68-97.
  21. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
  22. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2021. "Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models," Finance and Stochastics, Springer, vol. 25(4), pages 757-810, October.
  23. Stefan Ankirchner & Alexander Fromm & Thomas Kruse & Alexandre Popier, 2018. "Optimal position targeting via decoupling fields," Working Papers hal-01500311, HAL.
  24. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2022. "Portfolio liquidation games with self‐exciting order flow," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1020-1065, October.
  25. Yang, Qing-Qing & Ching, Wai-Ki & Gu, Jia-wen & Wong, Tak Kwong & Zhu, Dong-Mei, 2024. "Viscosity solution for optimal liquidation problems with randomly-terminated horizon," Finance Research Letters, Elsevier, vol. 61(C).
  26. Paulwin Graewe & Ulrich Horst & Eric S'er'e, 2013. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Papers 1309.0474, arXiv.org, revised Jun 2017.
  27. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2020. "C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models," Papers 2006.05863, arXiv.org, revised Jul 2021.
  28. Graewe, Paulwin & Popier, Alexandre, 2021. "Asymptotic approach for backward stochastic differential equation with singular terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 133(C), pages 247-277.
  29. Ulrich Horst & Xiaonyu Xia & Chao Zhou, 2019. "Portfolio liquidation under factor uncertainty," Papers 1909.00748, arXiv.org.
  30. Christoph Belak & Johannes Muhle-Karbe & Kevin Ou, 2018. "Optimal Trading with General Signals and Liquidation in Target Zone Models," Papers 1808.00515, arXiv.org.
  31. Qiu, Jinniao, 2017. "Weak solution for a class of fully nonlinear stochastic Hamilton–Jacobi–Bellman equations," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1926-1959.
  32. Eyal Neuman & Moritz Vo{ss}, 2020. "Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact," Papers 2002.09549, arXiv.org, revised Jan 2022.
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