48 citations · 195 across the 26 of their papers we have counts for
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q-fin.PM2013★ 47 cited
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…
math.OC2013★ 48 cited
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…