The main goal of this article is to introduce a new notion of qualitative robustness that applies also to tail-dependent statistical functionals and that allows us to compare statistical functionals in regards to their degree of robustness. By means of new versions of the celebrated Hampel...

We analyze the existence of price manipulation and optimal trade execution strategies in a model for an electronic limit order book with nonlinear price impact and exponential resilience. Our main results show that, under general conditions on the shape function of the limit order book, placing...

We give a singular control approach to the problem of minimizing an energy functional for measures with given total mass on a compact real interval, when energy is defined in terms of a completely monotone kernel. This problem occurs both in potential theory and when looking for optimal...

With an alternative choice of risk criterion, we solve the HJB equation explicitly to find a closed-form solution for the optimal trade execution strategy in the Almgren–Chriss framework assuming the underlying unaffected stock price process is geometric Brownian motion.