## Horst, Ulrich

Compute Distance To:
 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
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### 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
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### 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
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### 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)

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