5 citations · 9 across the 5 of their papers we have counts for
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math.PR2014★ 2 cited
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme
Aurélien Alfonsi, Benjamin Jourdain, Arturo Kohatsu-Higa
In this paper, we prove that the time supremum of the Wasserstein distance between the time-marginals of a uniformly elliptic multidimensional diffusion with coefficients bounded t…
q-fin.TR2014★ 5 cited
Dynamic optimal execution in a mixed-market-impact Hawkes price model
Aurélien Alfonsi, Pierre Blanc
We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved ex…