3 citations · 3 across the 5 of their papers we have counts for
7 papers
Stochastic Control Problems with Infinite Horizon and Regime Switching Arising in Optimal Liquidation with Semimartingale Strategies
Xinman Cheng, Guanxing Fu, Xiaonyu Xia
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy c…
Long Time Behavior of Optimal Liquidation Problems
Xinman Cheng, Guanxing Fu, Xiaonyu Xia
In this paper, we study the long time behavior of an optimal liquidation problem with semimartingale strategies and external flows. To investigate the limit rigorously, we study th…
A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies
Guanxing Fu, Ulrich Horst, Xiaonyu Xia
We consider a mean-field control problem with càdlàg semimartingale strategies arising in portfolio liquidation models with transient market impact and self-exciting order flow. We…
Portfolio Liquidation Games with Self-Exciting Order Flow
Guanxing Fu, Ulrich Horst, Xiaonyu Xia
We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activitie…
Portfolio liquidation under factor uncertainty
Ulrich Horst, Xiaonyu Xia, Chao Zhou
We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy…
Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint
Ulrich Horst, Xiaonyu Xia
This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems with si…
Multi-dimensional Optimal Trade Execution under Stochastic Resilience
Ulrich Horst, Xiaonyu Xia
We study a multi-dimensional optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience. In our model the value fun…