Alexander Schied

activity

19982025

most citedOn the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals

74 citations · 184 across the 30 of their papers we have counts for

collaborators

Showing 2019Show all

2 papers · 1 filter

q-fin.TR2019

An FBSDE approach to market impact games with stochastic parameters

Samuel Drapeau, Peng Luo, Alexander Schied +1

We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market p…

math.PR2019★ 1 cited

On the $p^{th}$ variation of a class of fractal functions

Alexander Schied, Zhenyuan Zhang

The concept of the $p^{th}$ variation of a continuous function $f$ along a refining sequence of partitions is the key to a pathwise Itô integration theory with integrator $f…

An FBSDE approach to market impact games with stochastic parameters

On the pth variation of a class of fractal functions

On the $p^{th}$ variation of a class of fractal functions