57 citations · 184 across the 31 of their papers we have counts for
4 papers · 1 filter
Hörmander-Type Theorem for Itô Processes and Related Backward SPDEs
Jinniao Qiu
A Hörmander-type theorem is established for Itô processes and related backward stochastic partial differential equations (BSPDEs). A short self-contained proof is also provided for…
Weak Solution for a Class of Fully Nonlinear Stochastic Hamilton-Jacobi-Bellman Equations
Jinniao Qiu
This paper is concerned with the stochastic Hamilton-Jacobi-Bellman equation with controlled leading coefficients, which is a type of fully nonlinear backward stochastic partial di…
A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition
Ulrich Horst, Jinniao Qiu, Qi Zhang
We study a constrained optimal control problem with possibly degenerate coefficients arising in models of optimal portfolio liquidation under market impact. The coefficients can be…
A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics
Christian Bayer, Ulrich Horst, Jinniao Qiu
We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price dynamics on volumes. Fo…