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Author ID: horst.ulrich Recent zbMATH articles by "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

Publications by Year

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
33
2005
A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions. Zbl 1312.93112
Graewe, Paulwin; Horst, Ulrich; Qiu, Jinniao
29
2015
Equilibrium pricing in incomplete markets under translation invariant preferences. Zbl 1410.91439
Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A.
19
2016
When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224
Horst, Ulrich; Naujokat, Felix
18
2014
Forward-backward systems for expected utility maximization. Zbl 1329.60182
Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing
17
2014
Equilibria in systems of social interactions. Zbl 1141.91343
Horst, Ulrich; Scheinkman, José A.
15
2006
Stationary equilibria in discounted stochastic games with weakly interacting players. Zbl 1115.91009
Horst, Ulrich
15
2005
A functional limit theorem for limit order books with state dependent price dynamics. Zbl 1379.60036
Bayer, Christian; Horst, Ulrich; Qiu, Jinniao
14
2017
Smooth solutions to portfolio liquidation problems under price-sensitive market impact. Zbl 1380.93287
Graewe, Paulwin; Horst, Ulrich; Séré, Eric
14
2018
Financial price fluctuations in a stock market model with many interacting agents. Zbl 1134.91426
Horst, Ulrich
12
2005
Optimal trade execution with instantaneous price impact and stochastic resilience. Zbl 1386.93307
Graewe, Paulwin; Horst, Ulrich
11
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
10
2016
A limit theorem for financial markets with inert investors. Zbl 1276.91055
Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie
10
2006
Mean field games with singular controls. Zbl 1386.93306
Fu, Guanxing; Horst, Ulrich
10
2017
A law of large numbers for limit order books. Zbl 1377.60041
Horst, Ulrich; Paulsen, Michael
10
2017
On securitization, market completion and equilibrium risk transfer. Zbl 1255.91401
Horst, 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 0988.60034
Horst, Ulrich
7
2001
On the spanning property of risk bonds priced by equilibrium. Zbl 1276.91097
Horst, Ulrich; Müller, Matthias
7
2007
Queuing, social interactions, and the microstructure of financial markets. Zbl 1134.91374
Horst, Ulrich; Rothe, Christian
6
2008
Optimal order display in limit order markets with liquidity competition. Zbl 1401.91572
Cebiroğlu, Gökhan; Horst, Ulrich
6
2015
Risk minimization and optimal derivative design in a principal agent game. Zbl 1177.91082
Horst, Ulrich; Moreno-Bromberg, Santiago
5
2008
A mean field game of optimal portfolio liquidation. Zbl 1483.91215
Fu, 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 1367.60018
Horst, Ulrich; Kreher, Dörte
5
2017
Mean-field leader-follower games with terminal state constraint. Zbl 1447.91159
Fu, Guanxing; Horst, Ulrich
5
2020
Convergence of locally and globally interacting Markov chains. Zbl 1058.60087
Föllmer, Hans; Horst, Ulrich
5
2001
Stability of linear stochastic difference equations in strategically controlled random environments. Zbl 1047.60037
Horst, Ulrich
5
2003
On non-ergodic asset prices. Zbl 1154.91025
Horst, Ulrich; Wenzelburger, Jan
3
2008
Efficiency and equilibria in games of optimal derivative design. Zbl 1275.91132
Horst, Ulrich; Moreno-Bromberg, Santiago
3
2011
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
2
2016
A limit theorem for systems of social interactions. Zbl 1195.91089
Horst, Ulrich; Scheinkman, José A.
2
2009
On derivatives with illiquid underlying and market manipulation. Zbl 1219.91140
Horst, Ulrich; Naujokat, Felix
2
2011
Functional limit theorems for marked Hawkes point measures. Zbl 1469.60160
Horst, Ulrich; Xu, Wei
2
2021
A scaling limit for limit order books driven by Hawkes processes. Zbl 1422.91803
Horst, Ulrich; Xu, Wei
2
2019
Multi-dimensional optimal trade execution under stochastic resilience. Zbl 1432.91103
Horst, Ulrich; Xia, Xiaonyu
2
2019
Second order approximations for limit order books. Zbl 1416.91350
Horst, Ulrich; Kreher, Dörte
2
2018
Maximum principle for quasi-linear reflected backward SPDEs. Zbl 1372.35057
Fu, Guanxing; Horst, Ulrich; Qiu, Jinniao
2
2017
Rational expectations equilibria of economies with local interactions. Zbl 1125.91002
Bisin, Alberto; Horst, Ulrich; Özgür, Onur
1
2006
A diffusion approximation for limit order book models. Zbl 1448.60078
Horst, Ulrich; Kreher, Dörte
1
2019
Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint. Zbl 1470.93164
Horst, Ulrich; Xia, Xiaonyu
1
2021
Trading under market impact: crossing networks interacting with dealer markets. Zbl 1411.91483
Bielagk, Jana; Horst, Ulrich; Moreno-Bromberg, Santiago
1
2019
Sender-receiver games with cooperation. Zbl 1396.91038
Forges, Françoise; Horst, Ulrich
1
2018
A mean field game of optimal portfolio liquidation. Zbl 1483.91215
Fu, Guanxing; Graewe, Paulwin; Horst, Ulrich; Popier, Alexandre
5
2021
Functional limit theorems for marked Hawkes point measures. Zbl 1469.60160
Horst, Ulrich; Xu, Wei
2
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
5
2020
A scaling limit for limit order books driven by Hawkes processes. Zbl 1422.91803
Horst, Ulrich; Xu, Wei
2
2019
Multi-dimensional optimal trade execution under stochastic resilience. Zbl 1432.91103
Horst, Ulrich; Xia, Xiaonyu
2
2019
A diffusion approximation for limit order book models. Zbl 1448.60078
Horst, Ulrich; Kreher, Dörte
1
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
14
2018
Second order approximations for limit order books. Zbl 1416.91350
Horst, Ulrich; Kreher, Dörte
2
2018
Sender-receiver games with cooperation. Zbl 1396.91038
Forges, Françoise; Horst, Ulrich
1
2018
A functional limit theorem for limit order books with state dependent price dynamics. Zbl 1379.60036
Bayer, Christian; Horst, Ulrich; Qiu, Jinniao
14
2017
Optimal trade execution with instantaneous price impact and stochastic resilience. Zbl 1386.93307
Graewe, Paulwin; Horst, Ulrich
11
2017
Mean field games with singular controls. Zbl 1386.93306
Fu, Guanxing; Horst, Ulrich
10
2017
A law of large numbers for limit order books. Zbl 1377.60041
Horst, Ulrich; Paulsen, Michael
10
2017
A weak law of large numbers for a limit order book model with fully state dependent order dynamics. Zbl 1367.60018
Horst, Ulrich; Kreher, Dörte
5
2017
Maximum principle for quasi-linear reflected backward SPDEs. Zbl 1372.35057
Fu, Guanxing; Horst, Ulrich; Qiu, Jinniao
2
2017
Equilibrium pricing in incomplete markets under translation invariant preferences. Zbl 1410.91439
Cheridito, 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 1334.93182
Horst, Ulrich; Qiu, Jinniao; Zhang, Qi
10
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
2
2016
A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions. Zbl 1312.93112
Graewe, Paulwin; Horst, Ulrich; Qiu, Jinniao
29
2015
Optimal order display in limit order markets with liquidity competition. Zbl 1401.91572
Cebiroğlu, Gökhan; Horst, Ulrich
6
2015
When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224
Horst, Ulrich; Naujokat, Felix
18
2014
Forward-backward systems for expected utility maximization. Zbl 1329.60182
Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing
17
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
9
2010
A limit theorem for systems of social interactions. Zbl 1195.91089
Horst, Ulrich; Scheinkman, José A.
2
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
3
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.
15
2006
A limit theorem for financial markets with inert investors. Zbl 1276.91055
Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie
10
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
33
2005
Stationary equilibria in discounted stochastic games with weakly interacting players. Zbl 1115.91009
Horst, Ulrich
15
2005
Financial price fluctuations in a stock market model with many interacting agents. Zbl 1134.91426
Horst, Ulrich
12
2005
Stability of linear stochastic difference equations in strategically controlled random environments. Zbl 1047.60037
Horst, Ulrich
5
2003
The stochastic equation \(Y_{t+1}= A_t Y_t+ B_t\) with non-stationary coefficients. Zbl 0988.60034
Horst, Ulrich
7
2001
Convergence of locally and globally interacting Markov chains. Zbl 1058.60087
Föllmer, Hans; Horst, Ulrich
5
2001
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

Citations by Year