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Publications (MathSciNet
List) and Preprints
|
Co-authors |
Journal/Published
version
|
Link
|
27
|
On the
analyticity of the value function in optimal investment
|
O. Mostovyi,
T. Zariphopoulou
|
preprint
|
ArXiv
|
26
|
Optimal
investment with high-watermark fee in a multi-dimensional
jump diffusion model
|
K. Janeček, Z.
Li
|
SIAM Journal on
Financial Mathematics, Vol.
11, No 3(2020), 750-787
|
PDF
|
25
|
Optimal
investment and consumption with labor income in incomplete
markets
|
O. Mostovyi
|
Annals of
Applied Probability, Vol. 30, No. 2
(2020), 747-787
|
ArXIv
|
24
|
A dual
representation result for value functions in stochastic
control of infinite dimensional groups
|
V. Barbu
|
Topological
Methods in Nonlinear Analysis, Vol.
54, No. 2B (2019), 907-916
|
PDF
|
23
|
Sensitivity
analysis of the utility maximization problem with respect to
model perturbations
|
O. Mostovyi
|
Finance and
Stochastics, Vol.
23, No. 3 (2019), 595-340
|
ArXIv
|
22
|
Zero-sum
stochastic differential games without the Isaacs condition:
random rules of priority and intermediate Hamiltonians
|
D.
Hernández-Hernández
|
SIAM Journal on
Control and Optimization, Vol.
56, No3. (2018), 2095-2119
|
ArXIv
|
21
|
Asymptotic
Perron's method and simple Markov strategies in stochastic
games and control |
|
SIAM Journal on
Control and Optimization, Vol.
53, No. 4 (2015), 1713-1733
|
ArXiv
|
20
|
A note on the
strong formulation of stochastic control problems with model
uncertainty |
|
Electronic
Communications in Probability, Vol 19, No. 81
(2014), 1-10
|
ArXiv
|
19
|
On martingale
problems with continuous time mixing and values of
differential games without Isaacs conditions |
|
SIAM Journal on
Control and Optimization, Vol.
52, No. 5 (2014), 2877-2890 |
ArXiv
|
18
|
Stochastic
Perron's method and elementary strategies for zero-sum
differential games |
|
SIAM Journal on
Control and Optimization,
Vol.
52, No. 3 (2014), 1693-1711 |
ArXiv
|
17
|
Stochastic
Perron's method for Hamilton-Jacobi-Bellman equations |
E. Bayraktar
|
SIAM Journal on
Control and Optimization, Vol.
51, No. 6 (2013), 4274–4294 |
ArXiv
|
16
|
Shadow prices
and well-posedness in the problem of optimal investment and
consumption with transaction costs |
J. Choi, G.
Žitković |
SIAM Journal on
Control and Optimization, Vol.
51, No. 6 (2013), 4414–4449 |
ArXiv
|
15
|
Stochastic
Perron's method and verification without smoothness using
viscosity comparison: obstacle problems and Dynkin games |
E. Bayraktar
|
Proceedings of
the American Mathematical Society, Vol.
142,
No. 4 (2014), 1399-1412 |
ArXiv
|
14
|
Stochastic
Perron's method and verification without smoothness using
viscosity comparison: the linear case |
E. Bayraktar
|
Proceedings of
the American Mathematical Society, Vol.
140,
No. 10 (2012), 3645-3654 |
ArXiv
|
13
|
Optimal
investment with high-watermark performance fee |
K. Janeček |
SIAM Journal on
Control and Optimization, Vol.
50, No. 2 (2012), 790-819 |
|
12
|
A note on
admissibility when the credit line is infinite |
S. Biagini
|
Stochastics, Vol.
84, No. 2-3
(2012), 157-169 |
|
11
|
Optimal
investment on finite horizon with random discrete order flow
in illiquid markets |
P.
Gassiat, H. Pham
|
The
International Journal of Theoretical and Applied Finance, Vol.
14,
No. 1 (2011),
17-40 |
ArXiv
|
10
|
In Which
Models do Mutual Fund Theorems Hold True? |
W.
Schachermayer, E. Taflin |
Finance and
Stochastics, Vol.
13 (2009), 49-77
|
ArXiv
|
9
|
Asymptotic
Analysis of Utility-Based Hedging Strategies for Small
Number of Contingent Claims |
D. Kramkov
|
Stochastic
Processes and their Applications, Vol.
117, No. 11
(2007), 1606-1620 |
|
8
|
Sensitivity
Analysis of Utility-Based Prices and Risk-Tolerance Wealth
Processes |
D. Kramkov
|
Annals of
Applied Probability, Vol.
16, No. 4 (2006),
2140-2194 |
ArXiv
|
7
|
A Two-Person
Game for Pricing Convertible Bonds |
S. E. Shreve
|
SIAM Journal on
Control and Optimization Vol.
45, No. 4 (2006),
1508-1539 |
|
6
|
On the
Two-Times Differentiability of the Value Functions in the
Problem of Optimal Investment in Incomplete Markets |
D. Kramkov
|
Annals of
Applied Probability, Vol.
16, No. 3
(2006), 1352-1384 |
ArXiv
|
5
|
Perpetual
Convertible Bonds |
I.
Pikovsky, S.E. Shreve |
SIAM Journal on
Control and Optimization, Vol.
43, No.1 (2004),
58-85 |
|
4
|
Infinite Time
Horizon Optimal Control of the Semilinear Heat Equation |
|
Nonlinear
Functional Analysis and Applications, Vol. 7,
No. 1 (2002), 69-83 |
PDF
|
3
|
A Riccati
Equation Approach to the Null Controllability of Linear
Systems |
|
Communications
in Applied Analysis, Vol. 6, No. 2 (2002), 163-177 |
PDF
|
2
|
Feedback Null
Controllability of the Semilinear Heat Equation |
|
Differential
Integral Equations, Vol.
15, No.1 (2002), 115-128 |
PDF
|
1
|
Null
Controllability of an Infinite Dimensional SDE with
State-and-Control Dependent Noise |
G. Tessitore |
Systems &
Control Letters, Vol.
44,
No. 5 (2001), 385-394 |
|