Ulrich Horst

1. A Scaling Limit for Limit Order Books Driven by Hawkes Processes
   2017/09/05 by Ulrich Horst, Horst, Ulrich, Wei Xu +1 · 2 citations
   Mathematics · Economics, Econometrics and Finance · #Point processes and geometric inequalities #Stochastic processes and statistical mechanics #Stochastic processes and financial applications
2. Mean-Field Leader-Follower Games with Terminal State Constraint
   2018/09/12 by Guanxing Fu, Fu, Guanxing, Ulrich Horst +1 · 2 citations
   Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications
3. A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies
   2022/07/01 by Guanxing Fu, Fu, Guanxing, Ulrich Horst +3 · 2 citations
   Economics, Econometrics and Finance · #Stochastic processes and financial applications #Financial Markets and Investment Strategies #Economic theories and models
4. Mean Field Portfolio Games with Epstein-Zin Preferences
   2025/05/12 by Guanxing Fu, Ulrich Horst, Fu, Guanxing +1 · 1 citation
   Economics, Econometrics and Finance · Decision Sciences · #Stochastic processes and financial applications #Economic theories and models #Risk and Portfolio Optimization