Publications in refereed journals

**Second order approximations for limit order books,**Finance & Stochastics, to appear**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)**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

- Asymptotics of locally and globally interacting Markov chains arising in microstructure models of financial markets ; Shaker-Verlag, Aachen, 2000