We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from...

We extend the dynamic Cournot model of Ludkovski and Sircar (2012) by considering stochastic demand. We analyze a duopoly between an exhaustible producer and a "green" competitor. Both producers dynamically make decisions regarding their production rates; in addition the exhaustible producer...