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2. David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs. (2020). Kashyap, Ravi.
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3. On a class of singular stochastic control problems driven by Lévy noise. (2019). Wu, Wei ; Goldys, Beniamin.
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4. An Optimal Execution Problem with S-shaped Market Impact Functions. (2017). Kato, Takashi.
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5. VWAP Execution as an Optimal Strategy. (2017). Kato, Takashi.
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6. Static vs adapted optimal execution strategies in two benchmark trading models. (2016). Brigo, Damiano ; Piat, Clement.
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7. A dynamic optimal execution strategy under stochastic price recovery. (2015). Ieda, Masashi.
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8. Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact. (2015). Kato, Takashi ; Ishitani, Kensuke.
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9. A dynamic optimal execution strategy under stochastic price recovery. (2015). Ieda, Masashi.
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1. A note on Almgren-Chriss optimal execution problem with geometric Brownian motion. (2020). Benveniste, Jerome ; Baldacci, Bastien.
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2. Portfolio Choice with Small Temporary and Transient Price Impact. (2020). Muhle-Karbe, Johannes ; Ekren, Ibrahim.
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3. Periodic strategies in optimal execution with multiplicative price impact. (2018). Moreno-Franco, Harold A ; Hern, Daniel .
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4. Optimal Asset Liquidation with Multiplicative Transient Price Impact. (2017). Bilarev, Todor ; Frentrup, Peter ; Becherer, Dirk.
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   RePEc:arx:papers:1501.01892.

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5. A market impact game under transient price impact. (2017). Zhang, Tao ; Schied, Alexander.
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6. Quasi-Centralized Limit Order Books. (2016). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D..
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7. Hydrodynamic limit of order book dynamics. (2016). Gao, Xuefeng ; Deng, S. J. ; Dai, J. G. ; Dieker, A. B..
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8. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
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   RePEc:tky:fseres:2015cf963.

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9. Do Shareholder Coalitions Modify Dominant Owners Control? The Impact On Dividend Policy. (2015). López-Iturriaga, Félix ; Lopez-Iturriaga, Felix J. ; Santana-Martin, Domingo Javier.
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10. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf360.

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11. Dynamics of Order Positions and Related Queues in a Limit Order Book. (2015). Ruan, Zhao ; Guo, Xin ; Zhu, Lingjiong.
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    RePEc:arx:papers:1505.04810.

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12. A law of large numbers for limit order books. (2015). Horst, Ulrich ; Paulsen, Michael.
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    RePEc:arx:papers:1501.00843.

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13. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Blanc, Pierre ; Alfonsi, Aur'Elien.
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14. Trading with Small Price Impact. (2015). Soner, Mete H. ; Moreau, Ludovic ; Muhle-Karbe, Johannes.
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15. Multivariate transient price impact and matrix-valued positive definite functions. (2015). Klock, Florian ; Alfonsi, Aur'Elien ; Schied, Alexander.
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16. An optimal execution problem with market impact. (2014). Kato, Takashi.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:18:y:2014:i:3:p:695-732.

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17. On Linearity Of Transaction Costs In Order Driven Market. (2014). Andreev, Nikolay.
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18. A stochastic control approach for options market making. (2014). el Aoud, Sofiene ; Abergel, Frederic.
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19. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Blanc, Pierre ; Alfonsi, Aurelien.
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20. Tug-of-war, market manipulation and option pricing. (2014). Parviainen, Mikko ; Nystrom, Kaj.
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21. High-Resilience Limits of Block-Shaped Order Books. (2014). Muhle-Karbe, Johannes ; Kallsen, Jan.
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22. Permanent market impact can be nonlinear. (2014). Olivier Gu'eant, .
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23. Optimal order placement in limit order markets. (2014). Cont, Rama ; Kukanov, Arseniy.
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24. An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process. (2014). Kato, Takashi.
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25. Competition between stock exchanges and optimal trading. (2013). van Kervel, Vincent.
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26. Limit order books. (2013). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark ; Fenn, Daniel J. ; Williams, Stacy.
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27. The order book as a queueing system: average depth and influence of the size of limit orders. (2013). Toke, Ioane Muni.
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28. Capacitary measures for completely monotone kernels via singular control. (2013). Schied, Alexander ; Alfonsi, Aurelien.
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29. Price Dynamics in a Markovian Limit Order Market. (2013). De Larrard, Adrien ; Cont, Rama.
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30. Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:1:p:1-32.

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31. Economic Modeling for Optimal Trading of Financial Asset in Volatile Market. (2013). Sun, Edward ; Kruse, Timm.
    In: Economics Bulletin.
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32. A Monte Carlo method for optimal portfolio executions. (2013). Achtsis, Nico ; Nuyens, Dirk.
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33. The order book as a queueing system: average depth and influence of the size of limit orders. (2013). Toke, Ioane Muni.
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    RePEc:arx:papers:1311.5661.

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34. Probabilistic aspects of finance. (2013). Follmer, Hans ; Schied, Alexander.
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35. Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process. (2013). LEHALLE, Charles-Albert.
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36. General Intensity Shapes in Optimal Liquidation. (2013). LEHALLE, Charles-Albert ; Olivier Gu'eant, .
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37. Hedging through a Limit Order Book with Varying Liquidity. (2012). Agliardi, Rossella ; Genay, Ramazan.
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38. Optimal order placement in limit order markets. (2012). Cont, Rama ; Kukanov, Arseniy.
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39. Optimal execution and price manipulations in time-varying limit order books. (2012). Acevedo, Jose Infante ; Alfonsi, Aurelien.
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    RePEc:hal:wpaper:hal-00687193.

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40. Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity. (2012). Kovaleva, Polina ; Iori, Giulia.
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    RePEc:cty:dpaper:12/05.

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41. High Frequency Market Making. (2012). Carmona, Rene ; Webster, Kevin.
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    RePEc:arx:papers:1210.5781.

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42. Optimal execution and price manipulations in time-varying limit order books. (2012). Jos'e Infante Acevedo, ; Alfonsi, Aur'Elien.
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43. Portfolio liquidation in dark pools in continuous time. (2012). Schoneborn, Torsten ; Kratz, Peter.
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44. Optimal posting price of limit orders: learning by trading. (2012). LEHALLE, Charles-Albert ; Laruelle, Sophie ; Pages, Gilles.
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45. Optimal Portfolio Liquidation with Limit Orders. (2012). LEHALLE, Charles-Albert ; Olivier Gu'eant, ; Tapia, Joaquin Fernandez .
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46. Liquidation in Limit Order Books with Controlled Intensity. (2012). Bayraktar, Erhan ; Ludkovski, Michael.
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47. Liquidity risk, price impacts and the replication problem. (2011). Roch, Alexandre.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:15:y:2011:i:3:p:399-419.

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48. Optimal Portfolio Liquidation with Limit Orders. (2011). Gueant, Olivier ; Tapia, Joaquin Fernandez ; Lehalle, Charles-Albert.
    In: Economics Papers from University Paris Dauphine.
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49. Optimal trade execution and price manipulation in order books with time-varying liquidity. (2011). Schöneborn, Torsten ; Schoeneborn, Torsten ; Urusov, Mikhail ; Fruth, Antje.
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50. Optimal trade execution and absence of price manipulations in limit order book models. (2010). Schied, Alexander ; Alfonsi, Aurelien.
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    RePEc:hal:journl:hal-00397652.

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