Ulrich Horst

24 papers Journal 24
YearRankTypeTitle / Venue / Authors
2026 J jnl
Optimal Trade Execution Under Endogenous Order Flow.
Oper. Res.
Ying Chen, Ulrich Horst, Hoang Hai Tran
2025 J jnl
Extended Mean-Field Games with Multidimensional Singular Controls and Nonlinear Jump Impact.
SIAM J. Control. Optim.
Robert Denkert, Ulrich Horst
2024 J jnl
A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies.
Math. Oper. Res.
Guanxing Fu, Ulrich Horst, Xiaonyu Xia
2022 J jnl
A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption.
SIAM J. Control. Optim.
Paulwin Graewe, Ulrich Horst, Ronnie Sircar
2021 J jnl
A Mean Field Game of Optimal Portfolio Liquidation.
Math. Oper. Res.
Guanxing Fu, Paulwin Graewe, Ulrich Horst, Alexandre Popier
2020 J jnl
Mean-Field Leader-Follower Games with Terminal State Constraint.
SIAM J. Control. Optim.
Guanxing Fu, Ulrich Horst
2019 J jnl
A Scaling Limit for Limit Order Books Driven by Hawkes Processes.
SIAM J. Financial Math.
Ulrich Horst, Wei Xu
2018 J jnl
Second order approximations for limit order books.
Finance Stochastics
Ulrich Horst, Dörte Kreher
2017 J jnl
A Law of Large Numbers for Limit Order Books.
Math. Oper. Res.
Ulrich Horst, Michael Paulsen
2017 J jnl
A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics.
SIAM J. Financial Math.
Ulrich Horst, Dörte Kreher
2017 J jnl
Mean Field Games with Singular Controls.
SIAM J. Control. Optim.
Guanxing Fu, Ulrich Horst
2017 J jnl
Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience.
SIAM J. Control. Optim.
Paulwin Graewe, Ulrich Horst
2016 J jnl
A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition.
SIAM J. Control. Optim.
Ulrich Horst, Jinniao Qiu, Qi Zhang
2016 J jnl
Conditional Analysis and a Principal-Agent Problem.
SIAM J. Financial Math.
Julio Backhoff, Ulrich Horst
2016 J jnl
Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences.
Math. Oper. Res.
Patrick Cheridito, Ulrich Horst, Michael Kupper, Traian A. Pirvu
2016 J jnl
Feasibility and individual rationality in two-person Bayesian games.
Int. J. Game Theory
Françoise Forges, Ulrich Horst, Antoine Salomon
2015 J jnl
A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions.
SIAM J. Control. Optim.
Paulwin Graewe, Ulrich Horst, Jinniao Qiu
2014 J jnl
When to Cross the Spread? Trading in Two-Sided Limit Order Books.
SIAM J. Financial Math.
Ulrich Horst, Felix Naujokat
2007 J jnl
On the Spanning Property of Risk Bonds Priced by Equilibrium.
Math. Oper. Res.
Ulrich Horst, Matthias Müller
2007 J jnl
Risk Minimization and Optimal Derivative Design in a Principal Agent Game
CoRR
Ulrich Horst, Santiago Moreno-Bromberg
2006 J jnl
A Limit Theorem for Financial Markets with Inert Investors.
Math. Oper. Res.
Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
2006 J jnl
Equilibria in systems of social interactions.
J. Econ. Theory
Ulrich Horst, José A. Scheinkman
2006 J jnl
Rational expectations equilibria of economies with local interactions.
J. Econ. Theory
Alberto Bisin, Ulrich Horst, Onur Özgür
2005 J jnl
Stationary equilibria in discounted stochastic games with weakly interacting players.
Games Econ. Behav.
Ulrich Horst