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Author ID: horst.ulrich Recent zbMATH articles by "Horst, Ulrich"
Published as: Horst, Ulrich

Publications by Year

Citations contained in zbMATH Open

47 Publications have been cited 444 times in 294 Documents Cited by Year
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective. Zbl 1118.91044
Föllmer, Hans; Horst, Ulrich; Kirman, Alan
36
2005
A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions. Zbl 1312.93112
Graewe, Paulwin; Horst, Ulrich; Qiu, Jinniao
31
2015
Forward-backward systems for expected utility maximization. Zbl 1329.60182
Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing
23
2014
When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224
Horst, Ulrich; Naujokat, Felix
23
2014
Smooth solutions to portfolio liquidation problems under price-sensitive market impact. Zbl 1380.93287
Graewe, Paulwin; Horst, Ulrich; Séré, Eric
21
2018
Equilibrium pricing in incomplete markets under translation invariant preferences. Zbl 1410.91439
Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A.
21
2016
Stationary equilibria in discounted stochastic games with weakly interacting players. Zbl 1115.91009
Horst, Ulrich
19
2005
Equilibria in systems of social interactions. Zbl 1141.91343
Horst, Ulrich; Scheinkman, José A.
18
2006
Mean field games with singular controls. Zbl 1386.93306
Fu, Guanxing; Horst, Ulrich
17
2017
A functional limit theorem for limit order books with state dependent price dynamics. Zbl 1379.60036
Bayer, Christian; Horst, Ulrich; Qiu, Jinniao
17
2017
Optimal trade execution with instantaneous price impact and stochastic resilience. Zbl 1386.93307
Graewe, Paulwin; Horst, Ulrich
15
2017
A mean field game of optimal portfolio liquidation. Zbl 1483.91215
Fu, Guanxing; Graewe, Paulwin; Horst, Ulrich; Popier, Alexandre
15
2021
A law of large numbers for limit order books. Zbl 1377.60041
Horst, Ulrich; Paulsen, Michael
14
2017
Mean-field leader-follower games with terminal state constraint. Zbl 1447.91159
Fu, Guanxing; Horst, Ulrich
14
2020
Financial price fluctuations in a stock market model with many interacting agents. Zbl 1134.91426
Horst, Ulrich
13
2005
A limit theorem for financial markets with inert investors. Zbl 1276.91055
Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie
12
2006
A constrained control problem with degenerate coefficients and degenerate backward SPDEs with singular terminal condition. Zbl 1334.93182
Horst, Ulrich; Qiu, Jinniao; Zhang, Qi
11
2016
On securitization, market completion and equilibrium risk transfer. Zbl 1255.91401
Horst, Ulrich; Pirvu, Traian A.; dos Reis, Gonçalo
11
2010
A weak law of large numbers for a limit order book model with fully state dependent order dynamics. Zbl 1367.60018
Horst, Ulrich; Kreher, Dörte
10
2017
The stochastic equation \(Y_{t+1}= A_t Y_t+ B_t\) with non-stationary coefficients. Zbl 0988.60034
Horst, Ulrich
9
2001
On the spanning property of risk bonds priced by equilibrium. Zbl 1276.91097
Horst, Ulrich; Müller, Matthias
7
2007
Optimal order display in limit order markets with liquidity competition. Zbl 1401.91572
Cebiroğlu, Gökhan; Horst, Ulrich
7
2015
Queuing, social interactions, and the microstructure of financial markets. Zbl 1134.91374
Horst, Ulrich; Rothe, Christian
6
2008
Stability of linear stochastic difference equations in strategically controlled random environments. Zbl 1047.60037
Horst, Ulrich
6
2003
Convergence of locally and globally interacting Markov chains. Zbl 1058.60087
Föllmer, Hans; Horst, Ulrich
6
2001
Functional limit theorems for marked Hawkes point measures. Zbl 1469.60160
Horst, Ulrich; Xu, Wei
6
2021
A scaling limit for limit order books driven by Hawkes processes. Zbl 1422.91803
Horst, Ulrich; Xu, Wei
6
2019
Risk minimization and optimal derivative design in a principal agent game. Zbl 1177.91082
Horst, Ulrich; Moreno-Bromberg, Santiago
5
2008
Second order approximations for limit order books. Zbl 1416.91350
Horst, Ulrich; Kreher, Dörte
5
2018
On non-ergodic asset prices. Zbl 1154.91025
Horst, Ulrich; Wenzelburger, Jan
4
2008
Multi-dimensional optimal trade execution under stochastic resilience. Zbl 1432.91103
Horst, Ulrich; Xia, Xiaonyu
4
2019
Maximum principle for quasi-linear reflected backward SPDEs. Zbl 1372.35057
Fu, Guanxing; Horst, Ulrich; Qiu, Jinniao
3
2017
A limit theorem for systems of social interactions. Zbl 1195.91089
Horst, Ulrich; Scheinkman, José A.
3
2009
Conditional analysis and a principal-agent problem. Zbl 1410.91407
Backhoff, Julio; Horst, Ulrich
3
2016
Feasibility and individual rationality in two-person Bayesian games. Zbl 1388.91050
Forges, Françoise; Horst, Ulrich; Salomon, Antoine
3
2016
A diffusion approximation for limit order book models. Zbl 1448.60078
Horst, Ulrich; Kreher, Dörte
3
2019
Portfolio liquidation under factor uncertainty. Zbl 1484.91424
Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao
3
2022
Efficiency and equilibria in games of optimal derivative design. Zbl 1275.91132
Horst, Ulrich; Moreno-Bromberg, Santiago
3
2011
On derivatives with illiquid underlying and market manipulation. Zbl 1219.91140
Horst, Ulrich; Naujokat, Felix
2
2011
Portfolio liquidation games with self-exciting order flow. Zbl 1522.91219
Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu
2
2022
Sender-receiver games with cooperation. Zbl 1396.91038
Forges, Françoise; Horst, Ulrich
1
2018
Rational expectations equilibria of economies with local interactions. Zbl 1125.91002
Bisin, Alberto; Horst, Ulrich; Özgür, Onur
1
2006
Trading under market impact: crossing networks interacting with dealer markets. Zbl 1411.91483
Bielagk, Jana; Horst, Ulrich; Moreno-Bromberg, Santiago
1
2019
Robust contracting in general contract spaces. Zbl 1492.91171
Backhoff-Veraguas, Julio; Beissner, Patrick; Horst, Ulrich
1
2022
A maximum principle approach to a deterministic mean field game of control with absorption. Zbl 1503.91027
Graewe, Paulwin; Horst, Ulrich; Sircar, Ronnie
1
2022
Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint. Zbl 1470.93164
Horst, Ulrich; Xia, Xiaonyu
1
2021
MATHEON – Mathematics for key technologies. Zbl 1287.00001
1
2014
Portfolio liquidation under factor uncertainty. Zbl 1484.91424
Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao
3
2022
Portfolio liquidation games with self-exciting order flow. Zbl 1522.91219
Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu
2
2022
Robust contracting in general contract spaces. Zbl 1492.91171
Backhoff-Veraguas, Julio; Beissner, Patrick; Horst, Ulrich
1
2022
A maximum principle approach to a deterministic mean field game of control with absorption. Zbl 1503.91027
Graewe, Paulwin; Horst, Ulrich; Sircar, Ronnie
1
2022
A mean field game of optimal portfolio liquidation. Zbl 1483.91215
Fu, Guanxing; Graewe, Paulwin; Horst, Ulrich; Popier, Alexandre
15
2021
Functional limit theorems for marked Hawkes point measures. Zbl 1469.60160
Horst, Ulrich; Xu, Wei
6
2021
Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint. Zbl 1470.93164
Horst, Ulrich; Xia, Xiaonyu
1
2021
Mean-field leader-follower games with terminal state constraint. Zbl 1447.91159
Fu, Guanxing; Horst, Ulrich
14
2020
A scaling limit for limit order books driven by Hawkes processes. Zbl 1422.91803
Horst, Ulrich; Xu, Wei
6
2019
Multi-dimensional optimal trade execution under stochastic resilience. Zbl 1432.91103
Horst, Ulrich; Xia, Xiaonyu
4
2019
A diffusion approximation for limit order book models. Zbl 1448.60078
Horst, Ulrich; Kreher, Dörte
3
2019
Trading under market impact: crossing networks interacting with dealer markets. Zbl 1411.91483
Bielagk, Jana; Horst, Ulrich; Moreno-Bromberg, Santiago
1
2019
Smooth solutions to portfolio liquidation problems under price-sensitive market impact. Zbl 1380.93287
Graewe, Paulwin; Horst, Ulrich; Séré, Eric
21
2018
Second order approximations for limit order books. Zbl 1416.91350
Horst, Ulrich; Kreher, Dörte
5
2018
Sender-receiver games with cooperation. Zbl 1396.91038
Forges, Françoise; Horst, Ulrich
1
2018
Mean field games with singular controls. Zbl 1386.93306
Fu, Guanxing; Horst, Ulrich
17
2017
A functional limit theorem for limit order books with state dependent price dynamics. Zbl 1379.60036
Bayer, Christian; Horst, Ulrich; Qiu, Jinniao
17
2017
Optimal trade execution with instantaneous price impact and stochastic resilience. Zbl 1386.93307
Graewe, Paulwin; Horst, Ulrich
15
2017
A law of large numbers for limit order books. Zbl 1377.60041
Horst, Ulrich; Paulsen, Michael
14
2017
A weak law of large numbers for a limit order book model with fully state dependent order dynamics. Zbl 1367.60018
Horst, Ulrich; Kreher, Dörte
10
2017
Maximum principle for quasi-linear reflected backward SPDEs. Zbl 1372.35057
Fu, Guanxing; Horst, Ulrich; Qiu, Jinniao
3
2017
Equilibrium pricing in incomplete markets under translation invariant preferences. Zbl 1410.91439
Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A.
21
2016
A constrained control problem with degenerate coefficients and degenerate backward SPDEs with singular terminal condition. Zbl 1334.93182
Horst, Ulrich; Qiu, Jinniao; Zhang, Qi
11
2016
Conditional analysis and a principal-agent problem. Zbl 1410.91407
Backhoff, Julio; Horst, Ulrich
3
2016
Feasibility and individual rationality in two-person Bayesian games. Zbl 1388.91050
Forges, Françoise; Horst, Ulrich; Salomon, Antoine
3
2016
A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions. Zbl 1312.93112
Graewe, Paulwin; Horst, Ulrich; Qiu, Jinniao
31
2015
Optimal order display in limit order markets with liquidity competition. Zbl 1401.91572
Cebiroğlu, Gökhan; Horst, Ulrich
7
2015
Forward-backward systems for expected utility maximization. Zbl 1329.60182
Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing
23
2014
When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224
Horst, Ulrich; Naujokat, Felix
23
2014
MATHEON – Mathematics for key technologies. Zbl 1287.00001
1
2014
Efficiency and equilibria in games of optimal derivative design. Zbl 1275.91132
Horst, Ulrich; Moreno-Bromberg, Santiago
3
2011
On derivatives with illiquid underlying and market manipulation. Zbl 1219.91140
Horst, Ulrich; Naujokat, Felix
2
2011
On securitization, market completion and equilibrium risk transfer. Zbl 1255.91401
Horst, Ulrich; Pirvu, Traian A.; dos Reis, Gonçalo
11
2010
A limit theorem for systems of social interactions. Zbl 1195.91089
Horst, Ulrich; Scheinkman, José A.
3
2009
Queuing, social interactions, and the microstructure of financial markets. Zbl 1134.91374
Horst, Ulrich; Rothe, Christian
6
2008
Risk minimization and optimal derivative design in a principal agent game. Zbl 1177.91082
Horst, Ulrich; Moreno-Bromberg, Santiago
5
2008
On non-ergodic asset prices. Zbl 1154.91025
Horst, Ulrich; Wenzelburger, Jan
4
2008
On the spanning property of risk bonds priced by equilibrium. Zbl 1276.91097
Horst, Ulrich; Müller, Matthias
7
2007
Equilibria in systems of social interactions. Zbl 1141.91343
Horst, Ulrich; Scheinkman, José A.
18
2006
A limit theorem for financial markets with inert investors. Zbl 1276.91055
Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie
12
2006
Rational expectations equilibria of economies with local interactions. Zbl 1125.91002
Bisin, Alberto; Horst, Ulrich; Özgür, Onur
1
2006
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective. Zbl 1118.91044
Föllmer, Hans; Horst, Ulrich; Kirman, Alan
36
2005
Stationary equilibria in discounted stochastic games with weakly interacting players. Zbl 1115.91009
Horst, Ulrich
19
2005
Financial price fluctuations in a stock market model with many interacting agents. Zbl 1134.91426
Horst, Ulrich
13
2005
Stability of linear stochastic difference equations in strategically controlled random environments. Zbl 1047.60037
Horst, Ulrich
6
2003
The stochastic equation \(Y_{t+1}= A_t Y_t+ B_t\) with non-stationary coefficients. Zbl 0988.60034
Horst, Ulrich
9
2001
Convergence of locally and globally interacting Markov chains. Zbl 1058.60087
Föllmer, Hans; Horst, Ulrich
6
2001
all top 5

Cited by 459 Authors

36 Horst, Ulrich
10 Popier, Alexandre
10 Qiu, Jinniao
7 Fu, Guanxing
7 Kupper, Michael
6 Graewe, Paulwin
5 Biagini, Francesca
5 Fujii, Masaaki
5 Guo, Xin
5 Kruse, Thomas
5 Luo, Peng
5 Nowak, Andrzej S.
5 Voß, Moritz
4 dos Reis, Gonçalo
4 Drapeau, Samuel
4 Jaimungal, Sebastian
4 Jamneshan, Asgar
4 Kreher, Dörte
4 Lux, Thomas C. H.
4 Moreno-Bromberg, Santiago
4 Muhle-Karbe, Johannes
4 Ricchiuti, Giorgio
4 Xia, Xiaonyu
3 Bayraktar, Erhan
3 Campi, Luciano
3 Föllmer, Hans
3 Forges, Françoise
3 Gao, Xuefeng
3 Jaśkiewicz, Anna
3 Lin, Zhongjian
3 Löwe, Matthias
3 Mazzon, Andrea
3 Meyer-Brandis, Thilo
3 Müller, Marvin S.
3 Naimzada, Ahmad K.
3 Pirvu, Traian A.
3 Sezer, Ali Devin
3 Stadje, Mitja
3 Takahashi, Akihiko
3 Tangpi, Ludovic
3 Xu, Wei
2 Ackermann, Julia
2 Alfarano, Simone
2 Anthropelos, Michail
2 Bank, Peter
2 Bielagk, Jana
2 Bottazzi, Giulio
2 Cao, Haoyang
2 Chan, Ngai Hang
2 Chiarella, Carl
2 Cohen, Asaf
2 Cont, Rama
2 Dieci, Roberto
2 Ferrari, Giorgio
2 Fromm, Alexander
2 Gardini, Laura
2 Ghezal, Ahmed
2 Imkeller, Peter
2 Jarrow, Robert Alan
2 Karliczek, Martin
2 Kirman, Alan P.
2 Kuhn, Christoph
2 Macrina, Andrea
2 Mania, Michael
2 Menoukeu Pamen, Olivier
2 Mostovyi, Oleksii
2 Mounjid, Othmane
2 Navarro-Barrientos, J. Emeterio
2 Nedelcu, Sorin
2 Neuman, Eyal
2 Pham, Huyên
2 Possamaï, Dylan
2 Réveillac, Anthony
2 Roitershtein, Alexander
2 Rosenbaum, Mathieu
2 Rotundo, Giulia
2 Scheinkman, José Alexandre
2 Schied, Alexander
2 Schweitzer, Frank
2 Sircar, Ronnie
2 Streckfuß, Martin
2 Tankov, Peter
2 Tevzadze, Revaz
2 Tolotti, Marco
2 Urusov, Mikhail A.
2 Wang, Haixu
2 Wei, Wenning
2 Wenzelburger, Jan
2 Werner, Ivan
2 Xiong, Dewen
2 Zhang, Liangquan
2 Zhang, Qi
2 Zhang, Rongmao
2 Zheng, Harry H.
2 Zhou, Chao
2 Zhou, Jun
2 Žitković, Gordan
1 Abergel, Frédéric
1 Agudze, Komla M.
1 Ahmadi, Mahdi
...and 359 more Authors
all top 5

Cited in 96 Serials

24 SIAM Journal on Financial Mathematics
21 Stochastic Processes and their Applications
17 Journal of Economic Dynamics & Control
16 SIAM Journal on Control and Optimization
15 Mathematics and Financial Economics
11 Finance and Stochastics
10 The Annals of Applied Probability
6 Journal of Mathematical Analysis and Applications
6 Journal of Economic Theory
6 Mathematics of Operations Research
6 Mathematical Finance
5 Physica A
5 Chaos, Solitons and Fractals
5 Journal of Mathematical Economics
5 Applied Mathematical Finance
4 Journal of Differential Equations
4 Economic Theory
4 Stochastics and Dynamics
3 Applied Mathematics and Optimization
3 International Journal of Game Theory
3 Journal of Econometrics
3 Mathematical Social Sciences
3 Insurance Mathematics & Economics
3 Annals of Operations Research
3 European Journal of Operational Research
3 Electronic Journal of Probability
3 International Journal of Theoretical and Applied Finance
3 Macroeconomic Dynamics
3 Decisions in Economics and Finance
3 Dynamic Games and Applications
3 Probability, Uncertainty and Quantitative Risk
2 Applied Mathematics and Computation
2 Journal of Optimization Theory and Applications
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 Queueing Systems
2 Games and Economic Behavior
2 Communications in Statistics. Theory and Methods
2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
2 Acta Mathematica Sinica. English Series
2 Probability in the Engineering and Informational Sciences
2 Econometric Theory
2 Quantitative Finance
2 Stochastic Models
2 Advances in Complex Systems
2 ALEA. Latin American Journal of Probability and Mathematical Statistics
2 Numerical Algebra, Control and Optimization
2 Stochastic Systems
1 Advances in Applied Probability
1 Journal of Mathematical Physics
1 Mathematische Semesterberichte
1 Nonlinearity
1 The Annals of Probability
1 Automatica
1 Journal of Multivariate Analysis
1 Mathematics and Computers in Simulation
1 Numerische Mathematik
1 Transactions of the American Mathematical Society
1 Systems & Control Letters
1 Note di Matematica
1 Statistics & Probability Letters
1 Stochastic Analysis and Applications
1 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
1 Optimization
1 Probability Theory and Related Fields
1 Journal of Theoretical Probability
1 MCSS. Mathematics of Control, Signals, and Systems
1 Proceedings of the Royal Society of Edinburgh. Section A. Mathematics
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Computational Economics
1 Electronic Communications in Probability
1 Bernoulli
1 Discrete and Continuous Dynamical Systems
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Mathematical Methods of Operations Research
1 Statistical Inference for Stochastic Processes
1 Applied Stochastic Models in Business and Industry
1 International Journal of Modern Physics C
1 Discrete and Continuous Dynamical Systems. Series B
1 Acta Mathematica Scientia. Series B. (English Edition)
1 Asia-Pacific Financial Markets
1 Boletim da Sociedade Paranaense de Matemática. Terceira Série
1 Fixed Point Theory and Applications
1 Stochastics
1 The European Physical Journal B. Condensed Matter and Complex Systems
1 Journal of Logic and Analysis
1 Set-Valued and Variational Analysis
1 Probability Surveys
1 European Actuarial Journal
1 Annals of Finance
1 Communications in Mathematics and Statistics
1 Stochastic and Partial Differential Equations. Analysis and Computations
1 Chinese Journal of Mathematics
1 Minimax Theory and its Applications
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
1 Transactions of A. Razmadze Mathematical Institute
1 Frontiers of Mathematical Finance

Citations by Year