Gayduk, Roman; Nadtochiy, Sergey Endogenous formation of limit order books: dynamics between trades. (English) Zbl 1388.91144 SIAM J. Control Optim. 56, No. 3, 1577-1619 (2018). MSC: 91G80 91A13 93E20 PDF BibTeX XML Cite \textit{R. Gayduk} and \textit{S. Nadtochiy}, SIAM J. Control Optim. 56, No. 3, 1577--1619 (2018; Zbl 1388.91144) Full Text: DOI
Nadtochiy, Sergey; Zariphopoulou, Thaleia An approximation scheme for solution to the optimal investment problem in incomplete markets. (English) Zbl 1282.91307 SIAM J. Financ. Math. 4, 494-538 (2013). Reviewer: Yuri Kifer (Jerusalem) MSC: 91G10 91G80 49L25 93E20 PDF BibTeX XML Cite \textit{S. Nadtochiy} and \textit{T. Zariphopoulou}, SIAM J. Financ. Math. 4, 494--538 (2013; Zbl 1282.91307) Full Text: DOI