1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.MF2026★ 1 cited
Second-Order Approximation of Limit Order Books in a Single-Scale Regime
Ulrich Horst, Dörte Kreher, Konstantins Starovoitovs
We establish a first- and second-order approximation for an infinite dimensional limit order book model in a single (critical) scaling regime where market and limit orders arrive a…
q-fin.MF2025
Mean-field control problems with multi-dimensional singular controls
Robert Denkert, Ulrich Horst
We consider extended mean-field control problems with multi-dimensional singular controls. A key challenge when analysing singular controls are jump costs. When controls are one-di…