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On the Spanning Property of Risk Bonds Priced by Equilibrium
Horst, Ulrich; Müller, Matthias - In: Mathematics of operations research 32 (2007) 4, pp. 784-807
Persistent link: https://www.econbiz.de/10007879807
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A mean-field control problem of optimal portfolio liquidation with semimartingale strategies
Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu - In: Mathematics of operations research 49 (2024) 4, pp. 2356-2384
Persistent link: https://www.econbiz.de/10015197927
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Equilibrium pricing in incomplete markets under translation invariant preferences
Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - In: Mathematics of operations research 41 (2016) 1, pp. 174-195
Persistent link: https://www.econbiz.de/10011448353
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A law of large numbers for limit order books
Horst, Ulrich; Paulsen, Michael - In: Mathematics of operations research 42 (2017) 4, pp. 1280-1312
Persistent link: https://www.econbiz.de/10011773323
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A mean field game of optimal portfolio liquidation
Fu, Guanxing; Graewe, Paulwin; Horst, Ulrich; Popier, … - In: Mathematics of operations research 46 (2021) 4, pp. 1250-1281
Persistent link: https://www.econbiz.de/10012796639
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An Analysis of Monotone Follower Problems for Diffusion Processes
Bayraktar, Erhan; Egami, Masahiko - In: Mathematics of operations research 33 (2008) 2, pp. 336-350
Persistent link: https://www.econbiz.de/10008055493
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Poisson Disorder Problem with Exponential Penalty for Delay
Bayraktar, Erhan; Dayanik, Savas - In: Mathematics of operations research 31 (2006) 2, pp. 217-233
Persistent link: https://www.econbiz.de/10007282694
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On Sums of Conditionally Independent Subexponential Random Variables
Bayraktar, Erhan; Egami, Masahiko - In: Mathematics of operations research 35 (2010) 1, pp. 102-120
Persistent link: https://www.econbiz.de/10008389859
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On the one-dimensional optimal switching problem
Bayraktar, Erhan; Egami, Masahiko - In: Mathematics of operations research 35 (2010) 1, pp. 140-159
Persistent link: https://www.econbiz.de/10003953652
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An analysis of monotone follower problems for diffusion processes
Bayraktar, Erhan; Egami, Masahiko - In: Mathematics of operations research 33 (2008) 2, pp. 336-350
Persistent link: https://www.econbiz.de/10003732436