38 citations · 44 across the 17 of their papers we have counts for
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math.PR2018
Mean field systems on networks, with singular interaction through hitting times
Sergey Nadtochiy, Mykhaylo Shkolnikov
Building on the line of work [DIRT15a], [DIRT15b], [NS17a], [DT17], [HLS18], [HS18] we continue the study of particle systems with singular interaction through hitting times. In co…
q-fin.PM2018
Optimal contract for a fund manager, with capital injections and endogenous trading constraints
Sergey Nadtochiy, Thaleia Zariphopoulou
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in…