Ulrich Horst

According to our database, Ulrich Horst authored at least 21 papers between 2005 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2022

A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption.

Paulwin Graewe, Ulrich Horst, Ronnie Sircar

SIAM J. Control. Optim., October, 2022

2021

A Mean Field Game of Optimal Portfolio Liquidation.

Guanxing Fu, Paulwin Graewe, Ulrich Horst, Alexandre Popier

Math. Oper. Res., 2021

2020

Mean-Field Leader-Follower Games with Terminal State Constraint.

Guanxing Fu, Ulrich Horst

SIAM J. Control. Optim., 2020

2019

A Scaling Limit for Limit Order Books Driven by Hawkes Processes.

Ulrich Horst, Wei Xu

SIAM J. Financial Math., 2019

2018

Second order approximations for limit order books.

Ulrich Horst, Dörte Kreher

Finance Stochastics, 2018

2017

A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics.

Ulrich Horst, Dörte Kreher

SIAM J. Financial Math., 2017

Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience.

Paulwin Graewe, Ulrich Horst

SIAM J. Control. Optim., 2017

Mean Field Games with Singular Controls.

Guanxing Fu, Ulrich Horst

SIAM J. Control. Optim., 2017

A Law of Large Numbers for Limit Order Books.

Ulrich Horst, Michael Paulsen

Math. Oper. Res., 2017

2016

Conditional Analysis and a Principal-Agent Problem.

Julio Backhoff, Ulrich Horst

SIAM J. Financial Math., 2016

A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition.

Ulrich Horst, Jinniao Qiu, Qi Zhang

SIAM J. Control. Optim., 2016

Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences.

Patrick Cheridito, Ulrich Horst, Michael Kupper, Traian A. Pirvu

Math. Oper. Res., 2016

Feasibility and individual rationality in two-person Bayesian games.

Françoise Forges, Ulrich Horst, Antoine Salomon

Int. J. Game Theory, 2016

2015

A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions.

Paulwin Graewe, Ulrich Horst, Jinniao Qiu

SIAM J. Control. Optim., 2015

2014

When to Cross the Spread? Trading in Two-Sided Limit Order Books.

Ulrich Horst, Felix Naujokat

SIAM J. Financial Math., 2014

2007

On the Spanning Property of Risk Bonds Priced by Equilibrium.

Ulrich Horst, Matthias Müller

Math. Oper. Res., 2007

Risk Minimization and Optimal Derivative Design in a Principal Agent Game

Ulrich Horst, Santiago Moreno-Bromberg

CoRR, 2007

2006

A Limit Theorem for Financial Markets with Inert Investors.

Erhan Bayraktar, Ulrich Horst, Ronnie Sircar

Math. Oper. Res., 2006

Equilibria in systems of social interactions.

Ulrich Horst, José A. Scheinkman

J. Econ. Theory, 2006

Rational expectations equilibria of economies with local interactions.

Alberto Bisin, Ulrich Horst, Onur Özgür

J. Econ. Theory, 2006

2005

Stationary equilibria in discounted stochastic games with weakly interacting players.

Ulrich Horst

Games Econ. Behav., 2005