### Publications in refereed journals

**A mean-field game of optimal portfolio liquidation,**Mathematics of Operations Research, to appear (Guanxing Fu, Paulwin Graewe, Ulrich Horst & Alexandre Popier)**Mean-field leader-follower games with terminal state constraint,**SIAM J. Control and Optimization, to appear (Guanxing Fu & Ulrich Horst)**Order exposure and liquidity coordination. Does hidden liquidity harm price efficiency?,**Market Microstructure and Liquidity, to appear**Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint,**Applied Mathematics and Optimization, to appear (Ulrich Horst & Xiaonyu Xia)**Multidimensional optimal trade execution under stochastic resilience,**Finance & Stochastics, 23(4), 889-923 (2019) (Ulrich Horst & Xiaonyu Xia)**A scaling limit for limit order books driven by Hawkes processes,**SIAM J. Financial Mathematics, 10(2), 350-393 (2019) (Ulrich Horst & Wei Xu)**A diffusion approximation for limit order book models,**Stochastic**Trading under market impact - crossing networks interacting with dealer markets,**Journal of Economic Dynamics and Control, 100, 131-151 (2019) (Jana Bielagk, Ulrich Horst & Santiago Moreno-Bromberg)**Second order approximations for limit order books,**Finance & Stochastics, 22(4), 827-877 (2018)**Sender-receiver games with cooperation**, Journal of Mathematical Economics, 76, 52-61 (2018) (Francoise Forges & Ulrich Horst)**Smooth solutions to portfolio liquidation problems under price sensitive market impact**, Stochastic Processes and Their Applications, 128 (3), 979-1006 (2018) (Paulwin Graewe, Ulrich Horst & Eric Sere)**Mean-field games with singular controls;**SIAM J. Control and Optimization, 55(6), 3833-3868 (2017) (Guanxing Fu & Ulrich Horst); an amendment to the multi-dimensional case**Optimal trade execution with instantaneous price impact and stochastic resilience;**SIAM J. Control and Optimization, 55(6), 3707–3725 (2017) (Paulwin Graewe & Ulrich Horst)**A law of large numbers for limit order books;**Mathematics of Operations Research, 42(4), 1280-1312 (2017) (Ulrich Horst & Michael Paulsen)**A functional limit theorem for limit order books with state dependent price dynamics**; Annals of Applied Probability, 27(5), 2753-2806 (2017) (Christian Bayer, Ulrich Horst & Jinniao Qiu)**Maximum Principle for Quasi-linear Reflected Backward SPDEs,**J. Mathematical Analysis and Applications, 456, 307-336 (2017) (Guanxing Fu, Ulrich Horst & Jinniao Qui)**A weak law of large numbers for a limit order book model with fully state dependent order dynamics**SIAM J. Financial Mathematics, 8, 314-343 (2017) (Ulrich Horst & Dörte Kreher)**Conditioal analysis and a Principal-Agent problem**SIAM J. Financial Mathematics, 7, 477-507 (2016) (Julio Backhoff & Ulrich Horst)**A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition;**SIAM J. Control and Optimization, 54(2), 946-963 (2016) (Ulrich Horst, Jinniao Qiu & Qi Zhang)**Equilibrium in incomplete markets under translation invariant preferences**Mathematics of Operations Research, 41(1), 174-195 (2016) (Patrick Cheridito, Ulrich Horst, Michael Kupper & Traian Pirvu)**Feasibility and individual rationality in two-person Bayesian games**International Journal of Game Theory, 45(1), 11-36 (2016) (Francoise Forges, Ulrich Horst & Antoine Salomon)**Optimal order display in limit order markets with liquidity competition**Journal of Economic Dynamics and Control, 58, 81-100 (2015) (Gökhan Cebiroglu & Ulrich Horst)**A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions;**SIAM J. Control and Optimization, 53 (2), 690-711 (2015) (Paulwin Graewe, Ulrich Horst & Jinniao Qiu)**When to Cross the Spread:Trading in Two-Side Limit Order Books;**SIAM J. Financial Mathematics, 5 (1), 278-315 (2014) (Ulrich Horst & Felix Naujokat)**Forward-backward systems for expected utility maximization**; Stochastic Processes and Their Applications, 124, 1813-1848 (2014) (Ulrich Horst, Ying Hu, Peter Imkeller, Anthony Reveillac, Jianing Zhang)**Continuous equilibrium in affine and information-based capital asset pricing models;**Annals of Finance, 9(4), 725-755 (2013) (with Michael Kupper, Andrea Macrina, Christoph Mainberger)**Efficiency and Equilibria in Games of Optimal Derivative Design;**Mathematics and Financial Economics, 5 (4), 269-297 (2011) (with Santiago Moreno-Bromberg)**On derivatives with illiquid underlying and market manipulation**; Quantitative Finance, 11 (7), 1051-1066 (2011) (with Felix Naujokat)**On securitization, market completion and equilibrium risk transfer**; Mathematics and Financial Economics, 2 (4), 211-252 (2010) (with Traian Pirvu and Goncalo Dos Reis)**Dynamic systems of social interactions**; Journal of Economic Behavior and Organization, 73, 158-170 (2010)**A limit theorem for systems of social interactions**; Journal of Mathematical Economics, 45, 609-623, 2009 (with Jose Scheinkman)**Risk minimization and optimal derivative design in a Principal Agent game**; Mathematics and Financial Economics, 2, 1-27, 2008 (with Santiago Moreno)**Queuing, social interactions and the microstructure of financial markets**; Macroeconomic Dynamics, 12, 211-233, 2008 (with Christian Rothe)**On non-ergodic asset prices**; Economic Theory, 34, 207-234, 2008 (with Jan Wenzelburger)**On the spanning property of risk bonds priced by equilibrium**; Mathematics of Operations Research, 32(4), 784-807, 2007 (with Matthias Müller)**Stochastic cascades, credit contagion, and large portfolio losses**; Journal of Economic Behavior and Organization, 63, 25-54, 2007 ( Internet Supplement)**A limit theorem for financial markets with inert investors**; Mathematics of Operations Research, 31, 789-810, 2006 (with Erhan Bayraktar and Ronnie Sircar)**Equilibria in Systems of Social Interactions**; Journal of Economic Theory, 130, 44-77, 2006 (with Jose Scheinkman)**Rational Expectations equilibria of economies with local interactions**; Journal of Economic Theory, 127, 74-116, 2006 (with Alberto Bisin and Onür Özgür)**A simple model of trading climate risk**; Vierteljahrshefte zur Wirtschaftsforschung, 74, 175-195, 2005 (with Sabastien Chaumont, Peter Imkeller and Matthias Müller)**Equilibria in financial markets with heterogeneous agents: a probabilistic perspective**; Journal of Mathematical Economics 41, 123-155, 2005 (with Hans Föllmer and Alan Kirman)**Financial price fluctuations in a stock market model with many interacting agents**; Economic Theory 25, 917-932, 2005**Stationary equilibria in discounted stochastic games with weakly interacting players**; Games and Economic Behavior 52, 83-108, 2005**Stability of linear stochastic difference equations in strategically controlled random environments**; Advances in Applied Probability, 35, 961-981, 2004**Asymptotics of locally interacting Markov chains with global signals**; Advances in Applied Probability, 34, 416-440, 2002**Convergence of locally and globally interacting Markov chains**; Stochachstic Processes and their Applications, 96, 99-121, 2001 (with Hans Föllmer)**The stochastic equation Y(t+1) = A(t) Y(t) + B(t) with non-stationary coefficients**; Journal of Applied Probability, 38, 80-95, 2001

### Refereed publications in handbooks and periodicals

**Ergodicity and non-ergodicity in economics**; The New Palgrave Dictionary of Economics, 2nd Edition (ed. L. Blume, S. Durlauf), 2007**Queuing theoretic approaches to financial price fluctuations**; Handbook of Financial Engineering (ed. J. Birge and V. Linetsky), 2007 (with E. Bayraktar and R. Sircar)

### Books

*Matheon - Mathematics for Key Technologies*, EMS Series in Industrial and Applied Mathematics, 1:233-242. European Mathematical Society, 2014. (C. Tischendorf, V. Mehrmann and K. Schmidt. Electronics. In P. Deuflhard, M. Grötschel, D. Hömberg, U. Horst, J. Kramer, V. Mehrmann, K. Polthier, F. Schmidt, C. Schütte, M. Skutella, J. Sprekels, editors)- Asymptotics of locally and globally interacting Markov chains arising in microstructure models of financial markets ; Shaker-Verlag, Aachen, 2000