We solve explicitly a two-dimensional singular control problem of finite fuel type for an
infinite time horizon. The problem stems from the optimal liquidation of an asset position in a …

We revisit the classical theory of stochastic integral convergence on Skorokhod space,
providing a new comprehensive treatment under Skorokhod's J1 and M1 topologies based …

We start with a stochastic control problem where the control process is of finite variation
(possibly with jumps) and acts as integrator both in the state dynamics and in the target …

We analyse an optimal trade execution problem in a financial market with stochastic
liquidity. To this end, we set up a limit order book model in continuous time. Both order book …

We consider a mean-field control problem with càdlàg semimartingale strategies arising in
portfolio liquidation models with transient market impact and self-exciting order flow. We …

A price-maker company extracts an exhaustible commodity from a reservoir, and sells it in
the spot market. In absence of any actions of the company, the commodity's spot price …

We study a multiplicative transient price impact model for an illiquid financial market, where
trading causes price impact which is multiplicative in relation to the current price, transient …

We analyze an optimal trade execution problem in a financial market with stochastic
liquidity. To this end we set up a limit order book model in which both order book depth and …

This paper establishes the existence of equilibria result of a class of mean field games with
singular controls. The interaction takes place through both states and controls. A relaxed …

This paper establishes the existence of equilibria result of a class of mean field games with
singular controls. The interaction takes place through both states and controls. A relaxed …