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

 Slides based on unpublished work:  Asymptotic analysis of utility based prices and hedging strategies for utilities defined on the whole real line