48 citations · 143 across the 5 of their papers we have counts for
6 papers
A Maximum Principle approach to deterministic Mean Field Games of Control with Absorption
Paulwin Graewe, Ulrich Horst, Ronnie Sircar
We study a class of deterministic mean field games on finite and infinite time horizons arising in models of optimal exploitation of exhaustible resources. The main characteristic…
Asymptotic approach for backward stochastic differential equation with singular terminal condition *
Paulwin Graewe, Alexandre Popier
In this paper, we provide a one-to-one correspondence between the solution Y of a BSDE with singular terminal condition and the solution H of a BSDE with singular generator. This r…
A Mean Field Game of Optimal Portfolio Liquidation
Guanxing Fu, Paulwin Graewe, Ulrich Horst +1
We consider a mean field game (MFG) of optimal portfolio liquidation under asymmetric information. We prove that the solution to the MFG can be characterized in terms of a FBSDE wi…
Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
Paulwin Graewe, Ulrich Horst
We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading stra…
Smooth solutions to portfolio liquidation problems under price-sensitive market impact
Paulwin Graewe, Ulrich Horst, Eric Séré
We consider the stochastic control problem of a financial trader that needs to unwind a large asset portfolio within a short period of time. The trader can simultaneously submit ac…
A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
Paulwin Graewe, Ulrich Horst, Jinniao Qiu
We establish existence, uniqueness and regularity of solution results for a class of backward stochastic partial differential equations with singular terminal condition. The equati…