74 citations · 184 across the 30 of their papers we have counts for
6 papers · 1 filter
A control problem with fuel constraint and Dawson-Watanabe superprocesses
Alexander Schied
We solve a class of control problems with fuel constraint by means of the log-Laplace transforms of -functionals of Dawson-Watanabe superprocesses. This solution is related to t…
Price manipulation in a market impact model with dark pool
Florian Klöck, Alexander Schied, Yuemeng Sun
For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic in…
Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework
Alexander Schied
Assuming geometric Brownian motion as unaffected price process , Gatheral & Schied (2011) derived a strategy for optimal order execution that reacts in a sensible manner on ma…
Drift dependence of optimal trade execution strategies under transient price impact
Christopher Lorenz, Alexander Schied
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient pr…
Comparative and qualitative robustness for law-invariant risk measures
Volker Krätschmer, Alexander Schied, Henryk Zähle
When estimating the risk of a P&L from historical data or Monte Carlo simulation, the robustness of the estimate is important. We argue here that Hampel's classical notion of quali…
Capacitary measures for completely monotone kernels via singular control
Aurélien Alfonsi, Alexander Schied
We give a singular control approach to the problem of minimizing an energy functional for measures with given total mass on a compact real interval, when energy is defined in terms…