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Second-order BSDE under monotonicity condition and liquidation problem under uncertainty
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Second-order BSDE under monotonicity condition and liquidation problem under uncertainty (2019)Second-order BSDE under monotonicity cond…BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration (2015)BSDEs with monotone generator…Stochastic Differential Equations, Backward SDEs, Partial Differential Equations (2014)Stochastic Differential Equat…BSDEs with Singular Terminal Condition and a Control Problem with Constraints (2014)BSDEs with Singular Terminal …ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL (2013)ROBUST UTILITY MAXIMIZATION I…Dual formulation of second order target problems (2013)Dual formulation of second or…Optimal Trading with Stochastic Liquidity and Volatility (2012)Optimal Trading with Stochast…Optimal trade execution: A mean quadratic variation approach (2012)Optimal trade execution: A me…Wellposedness of second order backward SDEs (2011)Wellposedness of second order…Quasi-sure Stochastic Analysis through Aggregation (2011)Quasi-sure Stochastic Analysi…Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem (2011)Order Book Resilience, Price …OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)OPTIMAL TRADE EXECUTION UNDER…Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models (2010)Optimal Trade Execution and A…Lp solutions of backward stochastic differential equations (2003)Lp solutions of backward stoc…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…BSDEs with polynomial growth generators (1999)BSDEs with polynomial growth …On pathwise stochastic integration (1995)On pathwise stochastic integr…Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Continuous Martingales and Brownian Motion (1999)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex generators and unbounded terminal conditions (2008)Dynamic programming approach to principal–agent problems (2017)Transactions, Volume, and Volatility (1994)Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION (2013)OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (2013)Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach (2015)Calcul Stochastique et Problèmes de Martingales (1979)Stochastic Integration and $L^p$-Theory of Semimartingales (1981)Ambiguous volatility, possibility and utility in continuous time (2013)Stochastic Integration and Differential Equations : A New Approach (2014)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Controlled Markov Processes and Viscosity Solutions (2005)Brownian Motion and Stochastic Calculus (2007)Constructing sublinear expectations on path space (2013)Optimal control of execution costs (1998)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Optimal Portfolio Liquidation with Limit Orders (2012)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Methods of Mathematical Finance (1998)Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part I (2016)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Martingale representation theorem for the G -expectation (2010)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Martingale optimal transport and robust hedging in continuous time (2013)Coherent Measures of Risk (1999)Dynamic portfolio choice with frictions (2016)Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process (2015)Backward Stochastic Differential Equations (2017)The Master Equation and the Convergence Problem in Mean Field Games (2019)
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References

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  • 2011Wellposedness of second order backward SDEs289 cited
  • 2014Stochastic Differential Equations, Backward SDEs, Partial Differential Equations280 cited
  • 2011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK204 cited
  • 1995On pathwise stochastic integration177 cited
  • 2011Quasi-sure Stochastic Analysis through Aggregation175 cited
  • 2012Optimal trade execution: A mean quadratic variation approach160 cited
  • 2013Dual formulation of second order target problems148 cited
  • 2012Optimal Trading with Stochastic Liquidity and Volatility146 cited
  • 2011Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem140 cited
  • 2010Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models118 cited
  • 2013ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL94 cited
  • 2015BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration92 cited
  • 1999BSDEs with polynomial growth generators

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80 cited
  • 2014BSDEs with Singular Terminal Condition and a Control Problem with Constraints68 cited
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