Zobrazeno 1 - 10
of 402
pro vyhledávání: '"HORST, ULRICH"'
We consider both $N$-player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading. Players with an initially short position of stocks are only allowed to buy while players with a
Externí odkaz:
http://arxiv.org/abs/2403.10441
Autor:
Denkert, Robert, Horst, Ulrich
We establish a probabilistic framework for analysing extended mean-field games with multi-dimensional singular controls and state-dependent jump dynamics and costs. Two key challenges arise when analysing such games: the state dynamics may not depend
Externí odkaz:
http://arxiv.org/abs/2402.09317
Autor:
Horst, Ulrich, Xu, Wei
We prove that the long-run behavior of Hawkes processes is fully determined by the average number and the dispersion of child events. For subcritical processes we provide FLLNs and FCLTs under minimal conditions on the kernel of the process with the
Externí odkaz:
http://arxiv.org/abs/2401.11495
We establish the weak convergence of the intensity of a nearly-unstable Hawkes process with heavy-tailed kernel. Our result is used to derive a scaling limit for a financial market model where orders to buy or sell an asset arrive according to a Hawk
Externí odkaz:
http://arxiv.org/abs/2312.08784
Autor:
Horst, Ulrich, Xu, Wei
This paper provides and extends second-order versions of several fundamental theorems on first-order regularly varying functions such as Karamata's theorem/representation and Tauberian's theorem. Our results are used to establish second-order approxi
Externí odkaz:
http://arxiv.org/abs/2311.02655
Autor:
Denkert, Robert, Horst, Ulrich
We consider extended mean-field control problems with multi-dimensional singular controls. A key challenge when analysing singular controls are jump costs. When controls are one-dimensional, jump costs are most naturally computed by linear interpolat
Externí odkaz:
http://arxiv.org/abs/2308.04378
We establish a first and second-order approximation for an infinite dimensional limit order book model (LOB) in a single (''critical'') scaling regime where market and limit orders arrive at a common time scale. With our choice of scaling we obtain n
Externí odkaz:
http://arxiv.org/abs/2308.00805