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20132021
most citedOptimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience

48 citations · 143 across the 5 of their papers we have counts for

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math.PR2019

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…