12 citations · 20 across the 13 of their papers we have counts for
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q-fin.TR2014
A convex duality method for optimal liquidation with participation constraints
Olivier Guéant, Jean-Michel Lasry, Jiang Pu
In spite of the growing consideration for optimal execution in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed.…
q-fin.TR2013
Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
Aimé Lachapelle, Jean-Michel Lasry, Charles-Albert Lehalle +1
This paper deals with a stochastic order-driven market model with waiting costs, for order books with heterogenous traders. Offer and demand of liquidity drives price formation and…