Mikhail A. Urusov

Available identifiers

zbMath Open urusov.mikhail-aMaRDI QIDQ930668

List of research outcomes

Publication	Date of Publication	Type
A Kolmogorov-Chentsov type theorem on general metric spaces with applications to limit theorems for Banach-valued processes	2023-08-04	Paper
Criteria for NUPBR, NFLVR and the existence of EMMs in integrated diffusion markets	2023-06-20	Paper
Separating Times for One-Dimensional Diffusions	2022-11-11	Paper
Properties of the EMCEL scheme for approximating irregular diffusions	2022-01-21	Paper
Self-exciting price impact via negative resilience in stochastic order books	2021-12-07	Paper
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models	2021-11-02	Paper
Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters	2021-09-08	Paper
A functional limit theorem for coin tossing Markov chains	2021-06-03	Paper
Sequential tracking of an unobservable two-state Markov process under Brownian noise	2021-04-29	Paper
Wasserstein convergence rates for random bit approximations of continuous Markov processes	2020-10-28	Paper
Approximating exit times of continuous Markov processes	2020-08-03	Paper
Minimal embeddings of integrable processes in a Brownian motion	2020-03-11	Paper
Optimal trade execution in order books with stochastic liquidity	2019-05-23	Paper
Regression-Based Complexity Reduction of the Nested Monte Carlo Methods	2018-08-10	Paper
Regression-based variance reduction approach for strong approximation schemes	2018-03-08	Paper
Truncated control variates for weak approximation schemes	2018-03-07	Paper
Variance reduction for discretised diffusions via regression	2017-11-02	Paper
A functional limit theorem for irregular SDEs	2017-09-15	Paper
Necessary and sufficient conditions for the \(r\)-excessive local martingales to be martingales	2017-02-07	Paper
WLLN for arrays of nonnegative random variables	2017-01-16	Paper
Processes That Can Be Embedded in a Geometric Brownian Motion	2016-06-08	Paper
Numerical approximation of irregular SDEs via Skorokhod embeddings	2016-05-30	Paper
On the loss of the semimartingale property at the hitting time of a level	2015-12-07	Paper
On the submartingale/supermartingale property of diffusions in natural scale	2015-08-20	Paper
OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY	2014-11-05	Paper
Convergence of integral functionals of one-dimensional diffusions	2014-09-24	Paper
A note on delta hedging in markets with jumps	2014-05-30	Paper
Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models	2012-11-15	Paper
Martingale Property of Generalized Stochastic Exponentials	2012-08-29	Paper
On the martingale property of certain local martingales	2012-03-01	Paper
A Note on a Paper by Wong and Heyde	2011-10-25	Paper
On Minimax Duality in Optimal Stopping	2010-10-01	Paper
Optimal Stopping of Integral Functionals and a “No-Loss” Free Boundary Formulation	2010-08-16	Paper
On a class of optimal stopping problems for diffusions with discontinuous coefficients	2008-07-01	Paper
Optimal stopping via measure transformation: the Beibel–Lerche approach	2007-03-30	Paper
https://portal.mardi4nfdi.de/entity/Q5493541	2006-10-23	Paper
On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems	2005-10-28	Paper
Separating Times for Measures on Filtered Spaces	2004-12-16	Paper
The use of separating times in proving singularity of Gaussian measures	2004-11-29	Paper
Optimal forecasting of the time of attaining the maximum by Brownian motion	2004-06-22	Paper
No-arbitrage conditions in discrete financial models	2002-03-05	Paper

Research outcomes over time

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