48 citations · 195 across the 26 of their papers we have counts for
Showing 2016 · math.OCShow all
2 papers · 2 filters
math.OC2016
Mean Field Games with Singular Controls
Guanxing Fu, Ulrich Horst
This paper establishes the existence of relaxed solutions to mean field games (MFGs for short) with singular controls. We also prove approximations of solutions results for a parti…
math.OC2016★ 48 cited
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…