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Cites work
- A state-constrained differential game arising in optimal portfolio liquidation
- Adaptive execution: exploration and learning of price impact
- An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps: optimal liquidation in dark pools with adverse selection
- Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
- Fairness and efficiency in multiportfolio optimization
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- scientific article; zbMATH DE number 3206496 (Why is no real title available?)
- Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications
- Market or limit orders?
- Modelling the shape of the limit order book
- Optimal basket liquidation for CARA investors is deterministic
- Optimal execution and price manipulations in time-varying limit order books
- Optimal execution strategies in limit order books with general shape functions
- Optimal liquidation under stochastic liquidity
- Optimal Portfolio Liquidation with Distress Risk
- Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
- Optimal trade execution: a mean quadratic variation approach
- OR forum: The cost of latency in high-frequency trading
- The order book as a queueing system: average depth and influence of the size of limit orders
- Worst-case equilibria
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