3 citations · 3 across the 5 of their papers we have counts for
Showing 2018Show all
2 papers · 1 filter
q-fin.MF2018
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…
math.OC2018★ 3 cited
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…