63 citations · 127 across the 25 of their papers we have counts for
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math.PR2016★ 2 cited
Forward-backward stochastic differential equations with monotone functionals and mean field games with common noise
Saran Ahuja, Weiluo Ren, Tzu-Wei Yang
In this paper, we consider a system of forward-backward stochastic differential equations (FBSDEs) with monotone functionals. We show the existence and uniqueness of such a system…
q-fin.TR2016
Limit order trading with a mean reverting reference price
Saran Ahuja, George Papanicolaou, Weiluo Ren +1
Optimal control models for limit order trading often assume that the underlying asset price is a Brownian motion since they deal with relatively short time scales. The resulting op…