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Youri M.Kabanov - MaRDI portal

Youri M.Kabanov

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Person:1579535

Available identifiers

zbMath Open kabanov.yuri-mMaRDI QIDQ1579535

List of research outcomes





PublicationDate of PublicationType
Optimal pair trading: consumption-investment problem with finite and infinite horizon2024-11-12Paper
Ruin probabilities with investments in random environment: smoothness2023-11-18Paper
Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments2023-10-12Paper
On ruin probabilities with investments in a risky asset with a regime-switching price2022-09-26Paper
Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior2022-07-08Paper
Ruin probabilities for a Sparre Andersen model with investments2022-01-17Paper
On ruin probabilities with risky investments in a stock with stochastic volatility2021-12-18Paper
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs2021-04-29Paper
On Sets of Laws of Continuous Martingales2021-02-09Paper
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process2019-12-27Paper
Clearing in Financial Networks2019-11-12Paper
Viscosity Solutions of Integro-Differential Equations for Nonruin Probabilities2016-12-07Paper
No arbitrage of the first kind and local martingale numéraires2016-10-27Paper
Consumption-investment problem with transaction costs for Lévy-driven price processes2016-09-07Paper
In the insurance business risky investments are dangerous: the case of negative risk sums2016-05-23Paper
On Supremal and Maximal Sets with Respect to Random Partial Orders2016-05-13Paper
The ruin problem for L\'evy-driven linear stochastic equations with applications to actuarial models with negative risk sums2016-04-21Paper
No arbitrage and local martingale deflators2015-01-18Paper
Essential supremum with respect to a random partial order2014-01-16Paper
Essential supremum and essential maximum with respect to random preference relations2014-01-16Paper
Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs2012-11-15Paper
Small transaction costs, absence of arbitrage and consistent price systems2012-11-15Paper
Mean square error for the Leland-Lott hedging strategy: convex pay-offs2011-11-27Paper
https://portal.mardi4nfdi.de/entity/Q36561222010-01-13Paper
In discrete time a local martingale is a martingale under an equivalent probability measure2009-02-28Paper
https://portal.mardi4nfdi.de/entity/Q35266472008-09-25Paper
Markets with transaction costs. Mathematical theory.2008-06-24Paper
No-arbitrage criteria for financial markets with transaction costs and incomplete information2007-12-16Paper
A positive interest rate model with sticky barrier2007-10-09Paper
https://portal.mardi4nfdi.de/entity/Q52942642007-07-24Paper
A Consumption–Investment Problem with Production Possibilities2006-10-23Paper
https://portal.mardi4nfdi.de/entity/Q54935532006-10-23Paper
On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property2005-05-20Paper
On the law of one price2005-05-20Paper
Séminaire de Probabilités XXXVIII2005-03-30Paper
On a Stochastic Optimality of the Feedback Control in the LQG-Problem2004-12-16Paper
A geometric approach to portfolio optimization in models with transaction costs2004-11-24Paper
https://portal.mardi4nfdi.de/entity/Q44512592004-02-23Paper
Non-arbitrage criteria for financial markets with efficient friction2003-10-22Paper
https://portal.mardi4nfdi.de/entity/Q48024132003-04-27Paper
Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model2003-04-06Paper
Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model2003-04-06Paper
https://portal.mardi4nfdi.de/entity/Q47914472003-02-06Paper
https://portal.mardi4nfdi.de/entity/Q47882982003-01-21Paper
In the insurance business risky investments are dangerous2002-12-01Paper
On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper2002-10-28Paper
https://portal.mardi4nfdi.de/entity/Q27710992002-09-22Paper
https://portal.mardi4nfdi.de/entity/Q45509152002-09-04Paper
https://portal.mardi4nfdi.de/entity/Q27256022002-03-25Paper
https://portal.mardi4nfdi.de/entity/Q27256012002-02-24Paper
The Harrison-Pliska arbitrage pricing theorem under transaction costs2001-07-29Paper
Louis Bachelier on the Centenary of Theorie de la Speculation2001-03-29Paper
https://portal.mardi4nfdi.de/entity/Q42515662000-08-02Paper
https://portal.mardi4nfdi.de/entity/Q42515671999-11-29Paper
Hedging and liquidation under transaction costs in currency markets1999-09-14Paper
On Leland's strategy of option pricing with transactions costs1999-05-05Paper
On control of two-scale stochastic systems with linear dynamics in the fast variables1998-11-15Paper
Asymptotic arbitrage in large financial markets1998-08-19Paper
On Convergence of Attainability Sets for Controlled Two-Scale Stochastic Linear Systems1998-06-07Paper
Towards a general theory of bond markets1998-06-04Paper
Optional decomposition and Lagrange multipliers1998-03-17Paper
Bond Market Structure in the Presence of Marked Point Processes1998-01-21Paper
https://portal.mardi4nfdi.de/entity/Q43384121997-11-02Paper
A first order approximation forthe convergence of distributionsof the cox processes with1996-12-12Paper
Large deviations for solutions of singularly perturbed stochastic differential equations1996-09-03Paper
https://portal.mardi4nfdi.de/entity/Q48455921996-02-21Paper
https://portal.mardi4nfdi.de/entity/Q48456031996-02-20Paper
https://portal.mardi4nfdi.de/entity/Q48456041996-02-20Paper
https://portal.mardi4nfdi.de/entity/Q48455971995-10-25Paper
https://portal.mardi4nfdi.de/entity/Q48455981995-10-25Paper
https://portal.mardi4nfdi.de/entity/Q46932751994-01-05Paper
https://portal.mardi4nfdi.de/entity/Q46954581993-06-29Paper
https://portal.mardi4nfdi.de/entity/Q40149751992-10-27Paper
SINGULAR PERTURBATIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS1992-09-26Paper
Sets of accessibility for controlled stochastic differential equations1992-09-26Paper
https://portal.mardi4nfdi.de/entity/Q39758591992-06-26Paper
Optimal control of singularly perturbed stochastic linear systems1992-06-25Paper
https://portal.mardi4nfdi.de/entity/Q33623301992-01-01Paper
https://portal.mardi4nfdi.de/entity/Q52028801991-01-01Paper
https://portal.mardi4nfdi.de/entity/Q32011851990-01-01Paper
https://portal.mardi4nfdi.de/entity/Q32037881990-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37729961988-01-01Paper
On the variation distance for probability measures defined on a filtered space1986-01-01Paper
An Estimate of Closeness in Variation of Probability Measures1986-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36857611985-01-01Paper
Weak and Strong Convergence of the Distributions of Counting Processes1984-01-01Paper
ON THE EXISTENCE OF A SOLUTION IN A PROBLEM OF CONTROLLING A COUNTING PROCESS1984-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37113981984-01-01Paper
On convergence in variation of the distributions of multivariate point processes1983-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36641511983-01-01Paper
https://portal.mardi4nfdi.de/entity/Q47414781982-01-01Paper
ON THE REPRESENTATION OF INTEGRAL-VALUED RANDOM MEASURES AND LOCAL MARTINGALES BY MEANS OF RANDOM MEASURES WITH DETERMINISTIC COMPENSATORS1981-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38628041980-01-01Paper
Some limit theorems for simple point processes (a martingale approach)1980-01-01Paper
ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. II1980-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38951901980-01-01Paper
A PROBABILISTIC MODIFICATION OF THE von NEUMANN-GALE MODEL1980-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39637861980-01-01Paper
ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. I1979-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38627921979-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39043341979-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39405701979-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39427181979-01-01Paper
https://portal.mardi4nfdi.de/entity/Q32060671978-01-01Paper
The Capacity of a Channel of the Poisson Type1978-01-01Paper
https://portal.mardi4nfdi.de/entity/Q41608301978-01-01Paper
https://portal.mardi4nfdi.de/entity/Q41870801978-01-01Paper
https://portal.mardi4nfdi.de/entity/Q41555601977-01-01Paper
ON THE QUESTION OF ABSOLUTE CONTINUITY AND SINGULARITY OF PROBABILITY MEASURES1977-01-01Paper
https://portal.mardi4nfdi.de/entity/Q41913641977-01-01Paper
https://portal.mardi4nfdi.de/entity/Q41199011976-01-01Paper
On Extended Stochastic Intervals1975-01-01Paper
https://portal.mardi4nfdi.de/entity/Q40663181974-01-01Paper
Integral Representations of Functionals of Processes with Independent Increments1974-01-01Paper
Representation of Functionals of Wiener and Poisson Processes in the Form of Stochastic Integrals1973-01-01Paper
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutionsN/APaper

Research outcomes over time

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