Edit Profile (opens in new tab) Horst, Ulrich Compute Distance To: Compute Author ID: horst.ulrich Published as: Horst, Ulrich Documents Indexed: 46 Publications since 2001 2 Contributions as Editor Reviewing Activity: 36 Reviews Co-Authors: 47 Co-Authors with 42 Joint Publications 1,436 Co-Co-Authors all top 5 Co-Authors 5 single-authored 4 Fu, Guanxing 4 Graewe, Paulwin 4 Qiu, Jinniao 3 Kreher, Dörte 3 Moreno-Bromberg, Santiago 3 Xia, Xiaonyu 2 Föllmer, Hans 2 Forges, Françoise 2 Kupper, Michael 2 Naujokat, Felix 2 Pirvu, Traian A. 2 Scheinkman, José Alexandre 2 Sircar, Ronnie 2 Xu, Wei 1 Backhoff, Julio Daniel 1 Bayer, Christian 1 Bayraktar, Erhan 1 Beißner, Patrick 1 Bielagk, Jana 1 Bisin, Alberto 1 Cebiroğlu, Gökhan 1 Cheridito, Patrick 1 Deuflhard, Peter 1 dos Reis, Gonçalo 1 Grötschel, Martin 1 Hömberg, Dietmar 1 Hu, Ying 1 Imkeller, Peter 1 Kirman, Alan P. 1 Kramer, Jürg 1 Macrina, Andrea 1 Mainberger, Christoph 1 Mehrmann, Volker 1 Özgür, Onur 1 Paulsen, Michael 1 Polthier, Konrad 1 Popier, Alexandre 1 Réveillac, Anthony 1 Rothe, Christian 1 Salomon, Antoine 1 Schütte, Christof 1 Séré, Eric 1 Skutella, Martin 1 Sprekels, Jürgen 1 Wenzelburger, Jan 1 Zhang, Jianing 1 Zhou, Chao all top 5 Serials 5 Mathematics of Operations Research 5 SIAM Journal on Control and Optimization 5 Stochastic Processes and their Applications 4 Mathematics and Financial Economics 4 SIAM Journal on Financial Mathematics 3 Journal of Mathematical Economics 3 Economic Theory 2 Advances in Applied Probability 2 Journal of Economic Theory 2 Journal of Economic Dynamics & Control 2 The Annals of Applied Probability 2 Finance and Stochastics 1 Journal of Mathematical Analysis and Applications 1 Applied Mathematics and Optimization 1 International Journal of Game Theory 1 Journal of Applied Probability 1 Games and Economic Behavior 1 Macroeconomic Dynamics 1 Quantitative Finance 1 Annals of Finance 1 EMS Series in Industrial and Applied Mathematics all top 5 Fields 41 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 25 Probability theory and stochastic processes (60-XX) 13 Systems theory; control (93-XX) 3 Operations research, mathematical programming (90-XX) 2 General and overarching topics; collections (00-XX) 2 Partial differential equations (35-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 History and biography (01-XX) 1 Ordinary differential equations (34-XX) 1 Statistics (62-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 42 Publications have been cited 332 times in 237 Documents Cited by ▼ Year ▼ Equilibria in financial markets with heterogeneous agents: a probabilistic perspective. Zbl 1118.91044Föllmer, Hans; Horst, Ulrich; Kirman, Alan 33 2005 A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions. Zbl 1312.93112Graewe, Paulwin; Horst, Ulrich; Qiu, Jinniao 29 2015 Equilibrium pricing in incomplete markets under translation invariant preferences. Zbl 1410.91439Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A. 19 2016 When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224Horst, Ulrich; Naujokat, Felix 18 2014 Forward-backward systems for expected utility maximization. Zbl 1329.60182Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing 17 2014 Equilibria in systems of social interactions. Zbl 1141.91343Horst, Ulrich; Scheinkman, José A. 15 2006 Stationary equilibria in discounted stochastic games with weakly interacting players. Zbl 1115.91009Horst, Ulrich 15 2005 A functional limit theorem for limit order books with state dependent price dynamics. Zbl 1379.60036Bayer, Christian; Horst, Ulrich; Qiu, Jinniao 14 2017 Smooth solutions to portfolio liquidation problems under price-sensitive market impact. Zbl 1380.93287Graewe, Paulwin; Horst, Ulrich; Séré, Eric 14 2018 Financial price fluctuations in a stock market model with many interacting agents. Zbl 1134.91426Horst, Ulrich 12 2005 Optimal trade execution with instantaneous price impact and stochastic resilience. Zbl 1386.93307Graewe, Paulwin; Horst, Ulrich 11 2017 A constrained control problem with degenerate coefficients and degenerate backward SPDEs with singular terminal condition. Zbl 1334.93182Horst, Ulrich; Qiu, Jinniao; Zhang, Qi 10 2016 A limit theorem for financial markets with inert investors. Zbl 1276.91055Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie 10 2006 Mean field games with singular controls. Zbl 1386.93306Fu, Guanxing; Horst, Ulrich 10 2017 A law of large numbers for limit order books. Zbl 1377.60041Horst, Ulrich; Paulsen, Michael 10 2017 On securitization, market completion and equilibrium risk transfer. Zbl 1255.91401Horst, Ulrich; Pirvu, Traian A.; dos Reis, Gonçalo 9 2010 The stochastic equation \(Y_{t+1}= A_t Y_t+ B_t\) with non-stationary coefficients. Zbl 0988.60034Horst, Ulrich 7 2001 On the spanning property of risk bonds priced by equilibrium. Zbl 1276.91097Horst, Ulrich; Müller, Matthias 7 2007 Queuing, social interactions, and the microstructure of financial markets. Zbl 1134.91374Horst, Ulrich; Rothe, Christian 6 2008 Optimal order display in limit order markets with liquidity competition. Zbl 1401.91572Cebiroğlu, Gökhan; Horst, Ulrich 6 2015 Risk minimization and optimal derivative design in a principal agent game. Zbl 1177.91082Horst, Ulrich; Moreno-Bromberg, Santiago 5 2008 A mean field game of optimal portfolio liquidation. Zbl 1483.91215Fu, Guanxing; Graewe, Paulwin; Horst, Ulrich; Popier, Alexandre 5 2021 A weak law of large numbers for a limit order book model with fully state dependent order dynamics. Zbl 1367.60018Horst, Ulrich; Kreher, Dörte 5 2017 Mean-field leader-follower games with terminal state constraint. Zbl 1447.91159Fu, Guanxing; Horst, Ulrich 5 2020 Convergence of locally and globally interacting Markov chains. Zbl 1058.60087Föllmer, Hans; Horst, Ulrich 5 2001 Stability of linear stochastic difference equations in strategically controlled random environments. Zbl 1047.60037Horst, Ulrich 5 2003 On non-ergodic asset prices. Zbl 1154.91025Horst, Ulrich; Wenzelburger, Jan 3 2008 Efficiency and equilibria in games of optimal derivative design. Zbl 1275.91132Horst, Ulrich; Moreno-Bromberg, Santiago 3 2011 Conditional analysis and a principal-agent problem. Zbl 1410.91407Backhoff, Julio; Horst, Ulrich 3 2016 Feasibility and individual rationality in two-person Bayesian games. Zbl 1388.91050Forges, Françoise; Horst, Ulrich; Salomon, Antoine 2 2016 A limit theorem for systems of social interactions. Zbl 1195.91089Horst, Ulrich; Scheinkman, José A. 2 2009 On derivatives with illiquid underlying and market manipulation. Zbl 1219.91140Horst, Ulrich; Naujokat, Felix 2 2011 Functional limit theorems for marked Hawkes point measures. Zbl 1469.60160Horst, Ulrich; Xu, Wei 2 2021 A scaling limit for limit order books driven by Hawkes processes. Zbl 1422.91803Horst, Ulrich; Xu, Wei 2 2019 Multi-dimensional optimal trade execution under stochastic resilience. Zbl 1432.91103Horst, Ulrich; Xia, Xiaonyu 2 2019 Second order approximations for limit order books. Zbl 1416.91350Horst, Ulrich; Kreher, Dörte 2 2018 Maximum principle for quasi-linear reflected backward SPDEs. Zbl 1372.35057Fu, Guanxing; Horst, Ulrich; Qiu, Jinniao 2 2017 Rational expectations equilibria of economies with local interactions. Zbl 1125.91002Bisin, Alberto; Horst, Ulrich; Özgür, Onur 1 2006 A diffusion approximation for limit order book models. Zbl 1448.60078Horst, Ulrich; Kreher, Dörte 1 2019 Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint. Zbl 1470.93164Horst, Ulrich; Xia, Xiaonyu 1 2021 Trading under market impact: crossing networks interacting with dealer markets. Zbl 1411.91483Bielagk, Jana; Horst, Ulrich; Moreno-Bromberg, Santiago 1 2019 Sender-receiver games with cooperation. Zbl 1396.91038Forges, Françoise; Horst, Ulrich 1 2018 A mean field game of optimal portfolio liquidation. Zbl 1483.91215Fu, Guanxing; Graewe, Paulwin; Horst, Ulrich; Popier, Alexandre 5 2021 Functional limit theorems for marked Hawkes point measures. Zbl 1469.60160Horst, Ulrich; Xu, Wei 2 2021 Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint. Zbl 1470.93164Horst, Ulrich; Xia, Xiaonyu 1 2021 Mean-field leader-follower games with terminal state constraint. Zbl 1447.91159Fu, Guanxing; Horst, Ulrich 5 2020 A scaling limit for limit order books driven by Hawkes processes. Zbl 1422.91803Horst, Ulrich; Xu, Wei 2 2019 Multi-dimensional optimal trade execution under stochastic resilience. Zbl 1432.91103Horst, Ulrich; Xia, Xiaonyu 2 2019 A diffusion approximation for limit order book models. Zbl 1448.60078Horst, Ulrich; Kreher, Dörte 1 2019 Trading under market impact: crossing networks interacting with dealer markets. Zbl 1411.91483Bielagk, Jana; Horst, Ulrich; Moreno-Bromberg, Santiago 1 2019 Smooth solutions to portfolio liquidation problems under price-sensitive market impact. Zbl 1380.93287Graewe, Paulwin; Horst, Ulrich; Séré, Eric 14 2018 Second order approximations for limit order books. Zbl 1416.91350Horst, Ulrich; Kreher, Dörte 2 2018 Sender-receiver games with cooperation. Zbl 1396.91038Forges, Françoise; Horst, Ulrich 1 2018 A functional limit theorem for limit order books with state dependent price dynamics. Zbl 1379.60036Bayer, Christian; Horst, Ulrich; Qiu, Jinniao 14 2017 Optimal trade execution with instantaneous price impact and stochastic resilience. Zbl 1386.93307Graewe, Paulwin; Horst, Ulrich 11 2017 Mean field games with singular controls. Zbl 1386.93306Fu, Guanxing; Horst, Ulrich 10 2017 A law of large numbers for limit order books. Zbl 1377.60041Horst, Ulrich; Paulsen, Michael 10 2017 A weak law of large numbers for a limit order book model with fully state dependent order dynamics. Zbl 1367.60018Horst, Ulrich; Kreher, Dörte 5 2017 Maximum principle for quasi-linear reflected backward SPDEs. Zbl 1372.35057Fu, Guanxing; Horst, Ulrich; Qiu, Jinniao 2 2017 Equilibrium pricing in incomplete markets under translation invariant preferences. Zbl 1410.91439Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A. 19 2016 A constrained control problem with degenerate coefficients and degenerate backward SPDEs with singular terminal condition. Zbl 1334.93182Horst, Ulrich; Qiu, Jinniao; Zhang, Qi 10 2016 Conditional analysis and a principal-agent problem. Zbl 1410.91407Backhoff, Julio; Horst, Ulrich 3 2016 Feasibility and individual rationality in two-person Bayesian games. Zbl 1388.91050Forges, Françoise; Horst, Ulrich; Salomon, Antoine 2 2016 A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions. Zbl 1312.93112Graewe, Paulwin; Horst, Ulrich; Qiu, Jinniao 29 2015 Optimal order display in limit order markets with liquidity competition. Zbl 1401.91572Cebiroğlu, Gökhan; Horst, Ulrich 6 2015 When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224Horst, Ulrich; Naujokat, Felix 18 2014 Forward-backward systems for expected utility maximization. Zbl 1329.60182Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing 17 2014 Efficiency and equilibria in games of optimal derivative design. Zbl 1275.91132Horst, Ulrich; Moreno-Bromberg, Santiago 3 2011 On derivatives with illiquid underlying and market manipulation. Zbl 1219.91140Horst, Ulrich; Naujokat, Felix 2 2011 On securitization, market completion and equilibrium risk transfer. Zbl 1255.91401Horst, Ulrich; Pirvu, Traian A.; dos Reis, Gonçalo 9 2010 A limit theorem for systems of social interactions. Zbl 1195.91089Horst, Ulrich; Scheinkman, José A. 2 2009 Queuing, social interactions, and the microstructure of financial markets. Zbl 1134.91374Horst, Ulrich; Rothe, Christian 6 2008 Risk minimization and optimal derivative design in a principal agent game. Zbl 1177.91082Horst, Ulrich; Moreno-Bromberg, Santiago 5 2008 On non-ergodic asset prices. Zbl 1154.91025Horst, Ulrich; Wenzelburger, Jan 3 2008 On the spanning property of risk bonds priced by equilibrium. Zbl 1276.91097Horst, Ulrich; Müller, Matthias 7 2007 Equilibria in systems of social interactions. Zbl 1141.91343Horst, Ulrich; Scheinkman, José A. 15 2006 A limit theorem for financial markets with inert investors. Zbl 1276.91055Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie 10 2006 Rational expectations equilibria of economies with local interactions. Zbl 1125.91002Bisin, Alberto; Horst, Ulrich; Özgür, Onur 1 2006 Equilibria in financial markets with heterogeneous agents: a probabilistic perspective. Zbl 1118.91044Föllmer, Hans; Horst, Ulrich; Kirman, Alan 33 2005 Stationary equilibria in discounted stochastic games with weakly interacting players. Zbl 1115.91009Horst, Ulrich 15 2005 Financial price fluctuations in a stock market model with many interacting agents. Zbl 1134.91426Horst, Ulrich 12 2005 Stability of linear stochastic difference equations in strategically controlled random environments. Zbl 1047.60037Horst, Ulrich 5 2003 The stochastic equation \(Y_{t+1}= A_t Y_t+ B_t\) with non-stationary coefficients. Zbl 0988.60034Horst, Ulrich 7 2001 Convergence of locally and globally interacting Markov chains. Zbl 1058.60087Föllmer, Hans; Horst, Ulrich 5 2001 all cited Publications top 5 cited Publications all top 5 Cited by 359 Authors 33 Horst, Ulrich 9 Popier, Alexandre 8 Qiu, Jinniao 7 Kupper, Michael 5 Graewe, Paulwin 5 Kruse, Thomas 5 Luo, Peng 5 Nowak, Andrzej S. 4 dos Reis, Gonçalo 4 Drapeau, Samuel 4 Fu, Guanxing 4 Fujii, Masaaki 4 Jamneshan, Asgar 4 Lux, Thomas C. H. 4 Moreno-Bromberg, Santiago 4 Ricchiuti, Giorgio 3 Bayraktar, Erhan 3 Biagini, Francesca 3 Föllmer, Hans 3 Forges, Françoise 3 Gao, Xuefeng 3 Guo, Xin 3 Jaśkiewicz, Anna 3 Kreher, Dörte 3 Löwe, Matthias 3 Muhle-Karbe, Johannes 3 Müller, Marvin S. 3 Naimzada, Ahmad K. 3 Pirvu, Traian A. 3 Stadje, Mitja 3 Takahashi, Akihiko 3 Tangpi, Ludovic 3 Voß, Moritz 3 Xia, Xiaonyu 2 Ackermann, Julia 2 Alfarano, Simone 2 Anthropelos, Michail 2 Bank, Peter 2 Bielagk, Jana 2 Bottazzi, Giulio 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 He, Xuezhong 2 Imkeller, Peter 2 Jaimungal, Sebastian 2 Jarrow, Robert Alan 2 Karliczek, Martin 2 Kirman, Alan P. 2 Kuhn, Christoph 2 Lin, Zhongjian 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 Roitershtein, Alexander 2 Rosenbaum, Mathieu 2 Scheinkman, José Alexandre 2 Schied, Alexander 2 Schweitzer, Frank 2 Sezer, Ali Devin 2 Streckfuß, Martin 2 Tevzadze, Revaz 2 Tolotti, Marco 2 Urusov, Mikhail A. 2 Wei, Wenning 2 Wenzelburger, Jan 2 Werner, Ivan 2 Xiong, Dewen 2 Xu, Wei 2 Zhang, Liangquan 2 Zhang, Rongmao 2 Žitković, Gordan 1 Abergel, Frédéric 1 Ahmadi, Mahdi 1 Aït-Sahalia, Yacine 1 Anderlini, Luca 1 Ankirchner, Stefan 1 Anufriev, Mikhail 1 Ararat, Çağın 1 Backhoff, Julio Daniel 1 Balbus, Łukasz 1 Balter, Anne G. 1 Baradel, Nicolas 1 Barucci, Emilio 1 Basu, Ranojoy 1 Bayer, Christian 1 Becherer, Dirk 1 Beißner, Patrick 1 Belomestny, Denis 1 Benazzoli, Chiara ...and 259 more Authors all top 5 Cited in 87 Serials 20 Stochastic Processes and their Applications 17 Journal of Economic Dynamics & Control 16 SIAM Journal on Financial Mathematics 14 SIAM Journal on Control and Optimization 14 Mathematics and Financial Economics 10 Finance and Stochastics 7 The Annals of Applied Probability 6 Journal of Economic Theory 6 Mathematics of Operations Research 5 Journal of Mathematical Analysis and Applications 5 Chaos, Solitons and Fractals 5 Journal of Mathematical Economics 4 Physica A 4 Stochastics and Dynamics 3 Insurance Mathematics & Economics 3 Annals of Operations Research 3 Economic Theory 3 Applied Mathematical Finance 3 International Journal of Theoretical and Applied Finance 3 Macroeconomic Dynamics 3 Decisions in Economics and Finance 3 Dynamic Games and Applications 2 Applied Mathematics and Computation 2 International Journal of Game Theory 2 Journal of Differential Equations 2 Journal of Optimization Theory and Applications 2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 2 Mathematical Social Sciences 2 Games and Economic Behavior 2 European Journal of Operational Research 2 Electronic Journal of Probability 2 Econometric Theory 2 Quantitative Finance 2 Advances in Complex Systems 2 Stochastic Systems 2 Probability, Uncertainty and Quantitative Risk 1 Advances in Applied Probability 1 Journal of Mathematical Physics 1 Mathematische Semesterberichte 1 Nonlinearity 1 The Annals of Probability 1 Applied Mathematics and Optimization 1 Automatica 1 Journal of Econometrics 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 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 MCSS. Mathematics of Control, Signals, and Systems 1 Queueing Systems 1 Communications in Statistics. Theory and Methods 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 Mathematical Finance 1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 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 Acta Mathematica Sinica. English Series 1 Probability in the Engineering and Informational Sciences 1 International Journal of Modern Physics C 1 Stochastic Models 1 Acta Mathematica Scientia. Series B. (English Edition) 1 Asia-Pacific Financial Markets 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 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 all top 5 Cited in 24 Fields 174 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 121 Probability theory and stochastic processes (60-XX) 56 Systems theory; control (93-XX) 20 Statistics (62-XX) 19 Calculus of variations and optimal control; optimization (49-XX) 18 Partial differential equations (35-XX) 16 Operations research, mathematical programming (90-XX) 10 Dynamical systems and ergodic theory (37-XX) 4 Measure and integration (28-XX) 4 Ordinary differential equations (34-XX) 4 Statistical mechanics, structure of matter (82-XX) 3 Mathematical logic and foundations (03-XX) 3 Functional analysis (46-XX) 3 General topology (54-XX) 3 Numerical analysis (65-XX) 3 Biology and other natural sciences (92-XX) 2 Real functions (26-XX) 2 Difference and functional equations (39-XX) 1 Combinatorics (05-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Computer science (68-XX) Citations by Year