40 citations · 72 across the 4 of their papers we have counts for
4 papers
Approximating diffusion reflections at elastic boundaries
Dirk Becherer, Todor Bilarev, Peter Frentrup
We show a probabilistic functional limit result for one-dimensional diffusion processes that are reflected at an elastic boundary which is a function of the reflection local time.…
Stability for gains from large investors' strategies in M1/J1 topologies
Dirk Becherer, Todor Bilarev, Peter Frentrup
We prove continuity of a controlled SDE solution in Skorokhod's and topologies and also uniformly, in probability, as a non-linear functional of the control strategy. T…
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…
Optimal Asset Liquidation with Multiplicative Transient Price Impact
Dirk Becherer, Todor Bilarev, Peter Frentrup
We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price,…