{"id":"https://openalex.org/W2996273641","doi":"https://doi.org/10.1137/18m1196078","title":"Second-Order Stochastic Target Problems with Generalized Market Impact","display_name":"Second-Order Stochastic Target Problems with Generalized Market Impact","publication_year":2019,"publication_date":"2019-01-01","ids":{"openalex":"https://openalex.org/W2996273641","doi":"https://doi.org/10.1137/18m1196078","mag":"2996273641"},"language":"en","primary_location":{"id":"doi:10.1137/18m1196078","is_oa":false,"landing_page_url":"https://doi.org/10.1137/18m1196078","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hal.science/hal-01820493","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5030868049","display_name":"Bruno Bouchard","orcid":"https://orcid.org/0000-0002-4716-1253"},"institutions":[{"id":"https://openalex.org/I171048554","display_name":"Centre de Recherche en Math\u00e9matiques de la D\u00e9cision","ror":"https://ror.org/03s0gj002","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I171048554","https://openalex.org/I2746051580","https://openalex.org/I4210141950","https://openalex.org/I56435720"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Bruno Bouchard","raw_affiliation_strings":["CEntre de REcherches en MAth\u00e9matiques de la DEcision","Universit\u00e9 Paris sciences et lettres"],"affiliations":[{"raw_affiliation_string":"CEntre de REcherches en MAth\u00e9matiques de la DEcision","institution_ids":["https://openalex.org/I171048554"]},{"raw_affiliation_string":"Universit\u00e9 Paris sciences et lettres","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5051304022","display_name":"Gr\u00e9goire Loeper","orcid":"https://orcid.org/0000-0002-5320-9516"},"institutions":[{"id":"https://openalex.org/I4210098931","display_name":"Quantitative BioSciences","ror":"https://ror.org/010brsj79","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I4210098931"]},{"id":"https://openalex.org/I56590836","display_name":"Monash University","ror":"https://ror.org/02bfwt286","country_code":"AU","type":"education","lineage":["https://openalex.org/I56590836"]}],"countries":["AU","US"],"is_corresponding":false,"raw_author_name":"Gr\u00e9goire Loeper","raw_affiliation_strings":["Monash University [Melbourne]","Chaire de finance quantitative"],"affiliations":[{"raw_affiliation_string":"Monash University [Melbourne]","institution_ids":["https://openalex.org/I56590836"]},{"raw_affiliation_string":"Chaire de finance quantitative","institution_ids":["https://openalex.org/I4210098931"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5022412598","display_name":"H. Met\u00e9 Soner","orcid":"https://orcid.org/0000-0002-0824-1808"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Halil Mete Soner","raw_affiliation_strings":["Eidgen\u00f6ssische Technische Hochschule - Swiss Federal Institute of Technology  [Z\u00fcrich]"],"affiliations":[{"raw_affiliation_string":"Eidgen\u00f6ssische Technische Hochschule - Swiss Federal Institute of Technology  [Z\u00fcrich]","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5000567490","display_name":"Chao Zhou","orcid":"https://orcid.org/0000-0002-3353-5146"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Chao Zhou","raw_affiliation_strings":["Department of Mathematics [Singapore]"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics [Singapore]","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5030868049"],"corresponding_institution_ids":["https://openalex.org/I171048554"],"apc_list":null,"apc_paid":null,"fwci":1.4378,"has_fulltext":false,"cited_by_count":7,"citation_normalized_percentile":{"value":0.84359093,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":"57","issue":"6","first_page":"4125","last_page":"4149"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9939000010490417,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9939000010490417,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9800999760627747,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10471","display_name":"Climate Change Policy and Economics","score":0.9362000226974487,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/a-priori-and-a-posteriori","display_name":"A priori and a posteriori","score":0.7369838953018188},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6291041374206543},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5412766933441162},{"id":"https://openalex.org/keywords/regularization","display_name":"Regularization (linguistics)","score":0.5392784476280212},{"id":"https://openalex.org/keywords/constraint","display_name":"Constraint (computer-aided design)","score":0.5278624892234802},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.491117924451828},{"id":"https://openalex.org/keywords/asymptotic-expansion","display_name":"Asymptotic expansion","score":0.48211073875427246},{"id":"https://openalex.org/keywords/bounded-function","display_name":"Bounded function","score":0.48182764649391174},{"id":"https://openalex.org/keywords/representation","display_name":"Representation (politics)","score":0.4577447772026062},{"id":"https://openalex.org/keywords/market-impact","display_name":"Market impact","score":0.43032175302505493},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.40576785802841187},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.40576741099357605},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.3286355137825012},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.15700286626815796},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.11639037728309631},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.1103752851486206},{"id":"https://openalex.org/keywords/market-microstructure","display_name":"Market microstructure","score":0.0953265130519867}],"concepts":[{"id":"https://openalex.org/C75553542","wikidata":"https://www.wikidata.org/wiki/Q178161","display_name":"A priori and a posteriori","level":2,"score":0.7369838953018188},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6291041374206543},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5412766933441162},{"id":"https://openalex.org/C2776135515","wikidata":"https://www.wikidata.org/wiki/Q17143721","display_name":"Regularization (linguistics)","level":2,"score":0.5392784476280212},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.5278624892234802},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.491117924451828},{"id":"https://openalex.org/C11683690","wikidata":"https://www.wikidata.org/wiki/Q752726","display_name":"Asymptotic expansion","level":2,"score":0.48211073875427246},{"id":"https://openalex.org/C34388435","wikidata":"https://www.wikidata.org/wiki/Q2267362","display_name":"Bounded function","level":2,"score":0.48182764649391174},{"id":"https://openalex.org/C2776359362","wikidata":"https://www.wikidata.org/wiki/Q2145286","display_name":"Representation (politics)","level":3,"score":0.4577447772026062},{"id":"https://openalex.org/C127288500","wikidata":"https://www.wikidata.org/wiki/Q1241055","display_name":"Market impact","level":4,"score":0.43032175302505493},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.40576785802841187},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.40576741099357605},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.3286355137825012},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.15700286626815796},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.11639037728309631},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.1103752851486206},{"id":"https://openalex.org/C51926234","wikidata":"https://www.wikidata.org/wiki/Q3312426","display_name":"Market microstructure","level":3,"score":0.0953265130519867},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/18m1196078","is_oa":false,"landing_page_url":"https://doi.org/10.1137/18m1196078","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},{"id":"pmh:oai:HAL:hal-01820493v1","is_oa":true,"landing_page_url":"https://hal.science/hal-01820493","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"ISSN: 0363-0129","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:HAL:hal-02416954v1","is_oa":false,"landing_page_url":"https://hal.science/hal-02416954","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"ISSN: 0363-0129","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:HAL:hal-01820493v1","is_oa":true,"landing_page_url":"https://hal.science/hal-01820493","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"ISSN: 0363-0129","raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1674916894","display_name":null,"funder_award_id":"R-146-000-255-114","funder_id":"https://openalex.org/F4320320751","funder_display_name":"Ministry of Education - Singapore"},{"id":"https://openalex.org/G3846589334","display_name":null,"funder_award_id":"ANR-15-CE05-0024","funder_id":"https://openalex.org/F4320320883","funder_display_name":"Agence Nationale de la Recherche"},{"id":"https://openalex.org/G6202227918","display_name":null,"funder_award_id":"R-146-000-219-112","funder_id":"https://openalex.org/F4320320751","funder_display_name":"Ministry of Education - Singapore"},{"id":"https://openalex.org/G6220201127","display_name":null,"funder_award_id":"SNF 200020-172815","funder_id":"https://openalex.org/F4320320924","funder_display_name":"Schweizerischer Nationalfonds zur F\u00f6rderung der Wissenschaftlichen Forschung"}],"funders":[{"id":"https://openalex.org/F4320320751","display_name":"Ministry of Education - Singapore","ror":"https://ror.org/01kcva023"},{"id":"https://openalex.org/F4320320883","display_name":"Agence Nationale de la Recherche","ror":"https://ror.org/00rbzpz17"},{"id":"https://openalex.org/F4320320924","display_name":"Schweizerischer Nationalfonds zur F\u00f6rderung der Wissenschaftlichen Forschung","ror":"https://ror.org/00yjd3n13"},{"id":"https://openalex.org/F4320321456","display_name":"BNP Paribas Cardif","ror":"https://ror.org/02v616z87"},{"id":"https://openalex.org/F4320327714","display_name":"ETH Z\u00fcrich Foundation","ror":null}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":17,"referenced_works":["https://openalex.org/W1971138837","https://openalex.org/W1973511230","https://openalex.org/W1977396001","https://openalex.org/W2003006180","https://openalex.org/W2007849171","https://openalex.org/W2036185216","https://openalex.org/W2042683957","https://openalex.org/W2071059912","https://openalex.org/W2125555288","https://openalex.org/W2156894747","https://openalex.org/W2211082179","https://openalex.org/W2524112160","https://openalex.org/W2578588253","https://openalex.org/W2608850366","https://openalex.org/W3100442136","https://openalex.org/W3125317303","https://openalex.org/W4230747638"],"related_works":["https://openalex.org/W4388311650","https://openalex.org/W1974056099","https://openalex.org/W4245343541","https://openalex.org/W2386077341","https://openalex.org/W563589758","https://openalex.org/W5922282","https://openalex.org/W2954004777","https://openalex.org/W2949638731","https://openalex.org/W2951102138","https://openalex.org/W4299447939"],"abstract_inverted_index":{"We":[0,72,146],"extend":[1],"the":[2,54,57,63,75,79,87,99,116,120,133],"study":[3],"of":[4,66,78,91],"[B.":[5],"Bouchard,":[6],"G.":[7,20],"Loeper,":[8,21],"and":[9,62,94,123],"Y.":[10],"Zou,":[11],"SIAM":[12],"J.":[13],"Control":[14],"Optim.,":[15],"55":[16],"(2017),":[17],"pp.":[18,27],"3319--3348;":[19],"Ann.":[22],"Appl.":[23],"Probab.,":[24],"28":[25],"(2018),":[26],"2664--2726]":[28],"stochastic":[29],"target":[30],"problems":[31],"with":[32],"general":[33,40,143],"market":[34],"impacts.":[35],"Namely,":[36],"we":[37,83],"consider":[38],"a":[39,48,88,125,142,153],"abstract":[41],"model":[42,154],"which":[43],"can":[44,129],"be":[45,70,130],"associated":[46],"to":[47,85,105,113,141],"fully":[49],"nonlinear":[50],"parabolic":[51,101,121],"equation.":[52],"Unlike":[53],"earlier":[55],"articles,":[56],"equation":[58,122],"is":[59],"not":[60],"concave,":[61],"regularization/verification":[64],"approach":[65],"our":[67],"2017":[68,80],"cannot":[69],"applied.":[71],"also":[73],"relax":[74],"gamma":[76],"constraint":[77],"article.":[81],"Instead,":[82],"need":[84],"generalize":[86],"priori":[89],"estimates":[90],"Loeper's":[92],"article":[93],"exhibit":[95],"smooth":[96,136],"solutions":[97],"from":[98],"classical":[100],"equations":[102],"theory.":[103],"Up":[104],"an":[106,149],"additional":[107],"approximating":[108],"argument,":[109],"this":[110],"allows":[111],"us":[112],"show":[114],"that":[115,124],"superhedging":[117],"price":[118],"solves":[119],"perfect":[126],"hedging":[127],"strategy":[128],"constructed":[131],"when":[132],"coefficients":[134],"are":[135],"enough.":[137],"This":[138],"representation":[139],"leads":[140],"dual":[144],"formulation.":[145],"finally":[147],"provide":[148],"asymptotic":[150],"expansion":[151],"around":[152],"without":[155],"impact.":[156]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1}],"updated_date":"2026-04-16T08:26:57.006410","created_date":"2025-10-10T00:00:00"}