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20112023
most citedPathwise Uniqueness for the Stochastic Heat Equation with Hölder Continuous Drift and Noise Coefficients

10 citations · 33 across the 20 of their papers we have counts for

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Showing 2018Show all

3 papers · 1 filter

q-fin.TR2018★ 3 cited

Static vs Adaptive Strategies for Optimal Execution with Signals

Claudio Bellani, Damiano Brigo, Alex Done +1

We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive sign…

math.PR2018

Hitting Probabilities of a Brownian flow with Radial Drift

Jong Jun Lee, Carl Mueller, Eyal Neuman

We consider a stochastic flow in with initial point , driven by a single -dimensional Brownian motion, and with an outward radial drift of…

q-fin.MF2018

Protecting Pegged Currency Markets from Speculative Investors

Eyal Neuman, Alexander Schied

We consider a stochastic game between a trader and a central bank in a target zone market with a lower currency peg. This currency peg is maintained by the central bank through the…