| Publication | Date of Publication | Type |
|---|
Optimal pair trading: consumption-investment problem with finite and infinite horizon
Statistics & Risk Modeling | 2024-11-12 | Paper |
| Ruin probabilities with investments in random environment: smoothness | 2023-11-18 | Paper |
Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
Finance and Stochastics | 2023-10-12 | Paper |
On ruin probabilities with investments in a risky asset with a regime-switching price
Finance and Stochastics | 2022-09-26 | Paper |
Ruin probabilities with investments: smoothness, integro-differential and ordinary differential equations, asymptotic behavior
Journal of Applied Probability | 2022-07-08 | Paper |
Ruin probabilities for a Sparre Andersen model with investments
Stochastic Processes and their Applications | 2022-01-17 | Paper |
On ruin probabilities with risky investments in a stock with stochastic volatility
Extremes | 2021-12-18 | Paper |
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
Finance and Stochastics | 2021-04-29 | Paper |
On Sets of Laws of Continuous Martingales
Theory of Probability & Its Applications | 2021-02-09 | Paper |
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Finance and Stochastics | 2019-12-27 | Paper |
Clearing in Financial Networks
Theory of Probability & Its Applications | 2019-11-12 | Paper |
Viscosity solutions of integro-differential equations for nonruin probabilities
Theory of Probability & Its Applications | 2016-12-07 | Paper |
No arbitrage of the first kind and local martingale numéraires
Finance and Stochastics | 2016-10-27 | Paper |
Consumption-investment problem with transaction costs for Lévy-driven price processes
Finance and Stochastics | 2016-09-07 | Paper |
In the insurance business risky investments are dangerous: the case of negative risk sums
Finance and Stochastics | 2016-05-23 | Paper |
On Supremal and Maximal Sets with Respect to Random Partial Orders
Springer Proceedings in Mathematics & Statistics | 2016-05-13 | Paper |
| The ruin problem for L\'evy-driven linear stochastic equations with applications to actuarial models with negative risk sums | 2016-04-21 | Paper |
| No arbitrage and local martingale deflators | 2015-01-18 | Paper |
Essential supremum with respect to a random partial order
Journal of Mathematical Economics | 2014-01-16 | Paper |
Essential supremum and essential maximum with respect to random preference relations
Journal of Mathematical Economics | 2014-01-16 | Paper |
Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
Finance and Stochastics | 2012-11-15 | Paper |
Small transaction costs, absence of arbitrage and consistent price systems
Finance and Stochastics | 2012-11-15 | Paper |
Mean square error for the Leland-Lott hedging strategy: convex pay-offs
Finance and Stochastics | 2011-11-27 | Paper |
| Mean square error for the Leland-Lott hedging strategy | 2010-01-13 | Paper |
In discrete time a local martingale is a martingale under an equivalent probability measure
Finance and Stochastics | 2009-02-28 | Paper |
| On martingale selectors of cone-valued processes | 2008-09-25 | Paper |
Markets with transaction costs. Mathematical theory.
Springer Finance | 2008-06-24 | Paper |
No-arbitrage criteria for financial markets with transaction costs and incomplete information
Finance and Stochastics | 2007-12-16 | Paper |
A positive interest rate model with sticky barrier
Quantitative Finance | 2007-10-09 | Paper |
| The Dalang-Morton-Willinger theorem under delayed and restricted information | 2007-07-24 | Paper |
| Multiparameter generalizations of the Dalang-Morton-Willinger theorem | 2006-10-23 | Paper |
A Consumption–Investment Problem with Production Possibilities
From Stochastic Calculus to Mathematical Finance | 2006-10-23 | Paper |
On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
Finance and Stochastics | 2005-05-20 | Paper |
On the law of one price
Finance and Stochastics | 2005-05-20 | Paper |
Séminaire de Probabilités XXXVIII
Lecture Notes in Mathematics | 2005-03-30 | Paper |
On a Stochastic Optimality of the Feedback Control in the LQG-Problem
Theory of Probability & Its Applications | 2004-12-16 | Paper |
A geometric approach to portfolio optimization in models with transaction costs
Finance and Stochastics | 2004-11-24 | Paper |
| scientific article; zbMATH DE number 2046393 (Why is no real title available?) | 2004-02-23 | Paper |
| scientific article; zbMATH DE number 2046393 (Why is no real title available?) | 2004-02-23 | Paper |
Non-arbitrage criteria for financial markets with efficient friction
Finance and Stochastics | 2003-10-22 | Paper |
| scientific article; zbMATH DE number 1897418 (Why is no real title available?) | 2003-04-27 | Paper |
Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
Mathematical Finance | 2003-04-06 | Paper |
Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
Mathematical Finance | 2003-04-06 | Paper |
| scientific article; zbMATH DE number 1865424 (Why is no real title available?) | 2003-02-06 | Paper |
| scientific article; zbMATH DE number 1856209 (Why is no real title available?) | 2003-01-21 | Paper |
In the insurance business risky investments are dangerous
Finance and Stochastics | 2002-12-01 | Paper |
On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
Mathematical Finance | 2002-10-28 | Paper |
| Arbitrage theory | 2002-09-22 | Paper |
| scientific article; zbMATH DE number 1795848 (Why is no real title available?) | 2002-09-04 | Paper |
| scientific article; zbMATH DE number 1619455 (Why is no real title available?) | 2002-03-25 | Paper |
| scientific article; zbMATH DE number 1619455 (Why is no real title available?) | 2002-03-25 | Paper |
| scientific article; zbMATH DE number 1619454 (Why is no real title available?) | 2002-02-24 | Paper |
| scientific article; zbMATH DE number 1619454 (Why is no real title available?) | 2002-02-24 | Paper |
The Harrison-Pliska arbitrage pricing theorem under transaction costs
Journal of Mathematical Economics | 2001-07-29 | Paper |
Louis Bachelier on the centenary of ``Théorie de la spéculation
Mathematical Finance | 2001-03-29 | Paper |
| scientific article; zbMATH DE number 1304732 (Why is no real title available?) | 2000-08-02 | Paper |
| scientific article; zbMATH DE number 1304733 (Why is no real title available?) | 1999-11-29 | Paper |
Hedging and liquidation under transaction costs in currency markets
Finance and Stochastics | 1999-09-14 | Paper |
On Leland's strategy of option pricing with transactions costs
Finance and Stochastics | 1999-05-05 | Paper |
On control of two-scale stochastic systems with linear dynamics in the fast variables
MCSS. Mathematics of Control, Signals, and Systems | 1998-11-15 | Paper |
Asymptotic arbitrage in large financial markets
Finance and Stochastics | 1998-08-19 | Paper |
On Convergence of Attainability Sets for Controlled Two-Scale Stochastic Linear Systems
SIAM Journal on Control and Optimization | 1998-06-07 | Paper |
Towards a general theory of bond markets
Finance and Stochastics | 1998-06-04 | Paper |
Optional decomposition and Lagrange multipliers
Finance and Stochastics | 1998-03-17 | Paper |
Bond Market Structure in the Presence of Marked Point Processes
Mathematical Finance | 1998-01-21 | Paper |
| scientific article; zbMATH DE number 1014707 (Why is no real title available?) | 1997-11-02 | Paper |
A first order approximation forthe convergence of distributionsof the cox processes with
Stochastics and Stochastic Reports | 1996-12-12 | Paper |
Large deviations for solutions of singularly perturbed stochastic differential equations
Russian Mathematical Surveys | 1996-09-03 | Paper |
| scientific article; zbMATH DE number 796435 (Why is no real title available?) | 1996-02-21 | Paper |
| scientific article; zbMATH DE number 796446 (Why is no real title available?) | 1996-02-20 | Paper |
| scientific article; zbMATH DE number 796445 (Why is no real title available?) | 1996-02-20 | Paper |
| scientific article; zbMATH DE number 796440 (Why is no real title available?) | 1995-10-25 | Paper |
| scientific article; zbMATH DE number 796439 (Why is no real title available?) | 1995-10-25 | Paper |
| scientific article; zbMATH DE number 205222 (Why is no real title available?) | 1994-01-05 | Paper |
| scientific article; zbMATH DE number 219308 (Why is no real title available?) | 1993-06-29 | Paper |
| scientific article; zbMATH DE number 69469 (Why is no real title available?) | 1992-10-27 | Paper |
Sets of accessibility for controlled stochastic differential equations
Russian Mathematical Surveys | 1992-09-26 | Paper |
SINGULAR PERTURBATIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS
Mathematics of the USSR-Sbornik | 1992-09-26 | Paper |
| scientific article; zbMATH DE number 18462 (Why is no real title available?) | 1992-06-26 | Paper |
Optimal control of singularly perturbed stochastic linear systems
Stochastics and Stochastic Reports | 1992-06-25 | Paper |
| On a probabilistic representation of solutions of the telegraph equation | 1992-01-01 | Paper |
| scientific article; zbMATH DE number 4197829 (Why is no real title available?) | 1991-01-01 | Paper |
| scientific article; zbMATH DE number 4180446 (Why is no real title available?) | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4178264 (Why is no real title available?) | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4032722 (Why is no real title available?) | 1988-01-01 | Paper |
An Estimate of Closeness in Variation of Probability Measures
Theory of Probability & Its Applications | 1986-01-01 | Paper |
On the variation distance for probability measures defined on a filtered space
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3909443 (Why is no real title available?) | 1985-01-01 | Paper |
ON THE EXISTENCE OF A SOLUTION IN A PROBLEM OF CONTROLLING A COUNTING PROCESS
Mathematics of the USSR-Sbornik | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3940320 (Why is no real title available?) | 1984-01-01 | Paper |
Weak and Strong Convergence of the Distributions of Counting Processes
Theory of Probability & Its Applications | 1984-01-01 | Paper |
On convergence in variation of the distributions of multivariate point processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3816749 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3795076 (Why is no real title available?) | 1982-01-01 | Paper |
ON THE REPRESENTATION OF INTEGRAL-VALUED RANDOM MEASURES AND LOCAL MARTINGALES BY MEANS OF RANDOM MEASURES WITH DETERMINISTIC COMPENSATORS
Mathematics of the USSR-Sbornik | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3665916 (Why is no real title available?) | 1980-01-01 | Paper |
Some limit theorems for simple point processes (a martingale approach)
Stochastics | 1980-01-01 | Paper |
ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. II
Mathematics of the USSR-Sbornik | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3785880 (Why is no real title available?) | 1980-01-01 | Paper |
A PROBABILISTIC MODIFICATION OF THE von NEUMANN-GALE MODEL
Russian Mathematical Surveys | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3702360 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3713445 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3757420 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3759882 (Why is no real title available?) | 1979-01-01 | Paper |
ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. I
Mathematics of the USSR-Sbornik | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3665903 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3595086 (Why is no real title available?) | 1978-01-01 | Paper |
The Capacity of a Channel of the Poisson Type
Theory of Probability & Its Applications | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3624531 (Why is no real title available?) | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3647878 (Why is no real title available?) | 1978-01-01 | Paper |
ON THE QUESTION OF ABSOLUTE CONTINUITY AND SINGULARITY OF PROBABILITY MEASURES
Mathematics of the USSR-Sbornik | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3584675 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3629967 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3544947 (Why is no real title available?) | 1976-01-01 | Paper |
On Extended Stochastic Intervals
Theory of Probability & Its Applications | 1975-01-01 | Paper |
Integral Representations of Functionals of Processes with Independent Increments
Theory of Probability & Its Applications | 1974-01-01 | Paper |
| scientific article; zbMATH DE number 3483307 (Why is no real title available?) | 1974-01-01 | Paper |
Representation of Functionals of Wiener and Poisson Processes in the Form of Stochastic Integrals
Theory of Probability & Its Applications | 1973-01-01 | Paper |
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions
(available as arXiv preprint) | N/A | Paper |
