3 papers
math.PR2017
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.…
q-fin.MF2017
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…
math.PR2016
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…