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20082025
most citedOn a class of optimal stopping problems for diffusions with discontinuous coefficients

22 citations · 60 across the 23 of their papers we have counts for

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math.OC2025

Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework

Julia Ackermann, Thomas Kruse, Mikhail Urusov

We analyze a continuous-time optimal trade execution problem in multiple assets where the price impact and the resilience can be matrix-valued stochastic processes that incorporate…