130 citations · 216 across the 11 of their papers we have counts for
Showing 2016 · math.PRShow all
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math.PR2016★ 6 cited
On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples
Dirk Becherer, Martin Büttner, Klebert Kentia
We show a concise extension of the monotone stability approach to backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measu…
math.PR2016★ 40 cited
Optimal Liquidation under Stochastic Liquidity
Dirk Becherer, Todor Bilarev, Peter Frentrup
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in…