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researcher

Peter Frentrup

4 papers hereh-index 491 citations9 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • last author4

Across the 4 of 4 papers where every author was matched, so the position is known.

fields
  • math.PR2
  • math.OC1
  • q-fin.MF1

identity via Semantic Scholar / OpenAlex

activity
20152017
most citedOptimal Liquidation under Stochastic Liquidity

40 citations · 72 across the 4 of their papers we have counts for

collaborators
Showing 2017 · math.PRShow all

1 paper · 2 filters

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.…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.