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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.…
math.PR2016★ 40 cited
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…