Ulrich Horst

Publication Activity (10 Years)

Years Active: 2005-2022
Publications (10 Years): 14

Top Topics

Optimal Portfolio

Belief Networks

State Dependent

Top Venues

SIAM J. Control. Optim.

SIAM J. Financial Math.

Math. Oper. Res.

Finance Stochastics

Publications

Paulwin Graewe, Ulrich Horst, Ronnie Sircar
A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption. SIAM J. Control. Optim. 60 (5) (2022)
Guanxing Fu, Paulwin Graewe, Ulrich Horst, Alexandre Popier
A Mean Field Game of Optimal Portfolio Liquidation. Math. Oper. Res. 46 (4) (2021)
Guanxing Fu, Ulrich Horst
Mean-Field Leader-Follower Games with Terminal State Constraint. SIAM J. Control. Optim. 58 (4) (2020)
Ulrich Horst, Wei Xu
A Scaling Limit for Limit Order Books Driven by Hawkes Processes. SIAM J. Financial Math. 10 (2) (2019)
Ulrich Horst, Dörte Kreher
Second order approximations for limit order books. Finance Stochastics 22 (4) (2018)
Paulwin Graewe, Ulrich Horst
Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. SIAM J. Control. Optim. 55 (6) (2017)
Ulrich Horst, Michael Paulsen
A Law of Large Numbers for Limit Order Books. Math. Oper. Res. 42 (4) (2017)
Guanxing Fu, Ulrich Horst
Mean Field Games with Singular Controls. SIAM J. Control. Optim. 55 (6) (2017)
Ulrich Horst, Dörte Kreher
A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics. SIAM J. Financial Math. 8 (1) (2017)
Julio Backhoff, Ulrich Horst
Conditional Analysis and a Principal-Agent Problem. SIAM J. Financial Math. 7 (1) (2016)
Françoise Forges, Ulrich Horst, Antoine Salomon
Feasibility and individual rationality in two-person Bayesian games. Int. J. Game Theory 45 (1-2) (2016)
Patrick Cheridito, Ulrich Horst, Michael Kupper, Traian A. Pirvu
Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences. Math. Oper. Res. 41 (1) (2016)
Ulrich Horst, Jinniao Qiu, Qi Zhang
A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition. SIAM J. Control. Optim. 54 (2) (2016)
Paulwin Graewe, Ulrich Horst, Jinniao Qiu
A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions. SIAM J. Control. Optim. 53 (2) (2015)
Ulrich Horst, Felix Naujokat
When to Cross the Spread? Trading in Two-Sided Limit Order Books. SIAM J. Financial Math. 5 (1) (2014)
Ulrich Horst, Santiago Moreno-Bromberg
Risk Minimization and Optimal Derivative Design in a Principal Agent Game CoRR (2007)
Ulrich Horst, Matthias Müller
On the Spanning Property of Risk Bonds Priced by Equilibrium. Math. Oper. Res. 32 (4) (2007)
Ulrich Horst, José A. Scheinkman
Equilibria in systems of social interactions. J. Econ. Theory 130 (1) (2006)
Alberto Bisin, Ulrich Horst, Onur Özgür
Rational expectations equilibria of economies with local interactions. J. Econ. Theory 127 (1) (2006)
Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
A Limit Theorem for Financial Markets with Inert Investors. Math. Oper. Res. 31 (4) (2006)
Ulrich Horst
Stationary equilibria in discounted stochastic games with weakly interacting players. Games Econ. Behav. 51 (1) (2005)