1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.TR2016
Limit order trading with a mean reverting reference price
Saran Ahuja, George Papanicolaou, Weiluo Ren +1
Optimal control models for limit order trading often assume that the underlying asset price is a Brownian motion since they deal with relatively short time scales. The resulting op…
math.PR2014
Asymptotics for a Class of Self-Exciting Point Processes
Tzu-Wei Yang, Lingjiong Zhu
In this paper, we study a class of self-exciting point processes. The intensity of the point process has a nonlinear dependence on the past history and time. When a new jump occurs…
q-fin.RM2012★ 1 cited
Large deviations for a mean field model of systemic risk
Josselin Garnier, George Papanicolaou, Tzu-Wei Yang
We consider a system of diffusion processes that interact through their empirical mean and have a stabilizing force acting on each of them, corresponding to a bistable potential. T…