References

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• 2001Heavy Traffic Analysis of Controlled Queueing and Communication Networks201 cited
• 1998Existence of Markov Controls and Characterization of Optimal Markov Controls147 cited
• 1999Some applications of impulse control in mathematical finance132 cited
• 2010THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING128 cited
• 2000Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves107 cited
• 1998Optimal stochastic intervention control with application to the exchange rate105 cited
• 2016Hedging with temporary price impact90 cited
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• 2001Stationary Solutions and Forward Equations for Controlled and Singular Martingale Problems62 cited
• 2015TRADING WITH SMALL PRICE IMPACT60 cited
• 1988Ergodic Control of Multidimensional Diffusions I: The Existence Results52 cited
• 2006Diffusion approximations for controlled stochastic networks: An asymptotic bound for the value function