Mihail Zervos

Available identifiers

zbMath Open zervos.mihailMaRDI QIDQ388888

List of research outcomes

Publication	Date of Publication	Type
Mean–variance hedging of contingent claims with random maturity	2024-01-31	Paper
Ergodic singular stochastic control motivated by the optimal sustainable exploitation of an ecosystem	2020-08-12	Paper
Discretionary stopping of stochastic differential equations with generalised drift	2019-12-12	Paper
Dynamical pricing of weather derivatives	2019-01-14	Paper
Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging	2017-10-02	Paper
Irreversible capital accumulation with economic impact	2017-08-10	Paper
Necessary and sufficient conditions for the \(r\)-excessive local martingales to be martingales	2017-02-07	Paper
Watermark options	2017-01-12	Paper
On the submartingale/supermartingale property of diffusions in natural scale	2015-08-20	Paper
Optimal Execution with Multiplicative Price Impact	2015-05-15	Paper
A zero-sum game between a singular stochastic controller and a discretionary stopper	2015-02-26	Paper
On the optimal stopping of a one-dimensional diffusion	2014-01-17	Paper
BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES	2013-09-04	Paper
Long-Term Optimal Investment Strategies in the Presence of Adjustment Costs	2013-07-17	Paper
A Model for Optimally Advertising and Launching a Product	2012-05-24	Paper
A MODEL FOR THE LONG-TERM OPTIMAL CAPACITY LEVEL OF AN INVESTMENT PROJECT	2011-06-10	Paper
The explicit solution to a sequential switching problem with non-smooth data	2010-08-19	Paper
\(\pi \) options	2010-07-08	Paper
A singular control model with application to the goodwill problem	2008-11-14	Paper
Optimal dividend and issuance of equity policies in the presence of proportional costs	2008-06-25	Paper
A Model for Reversible Investment Capacity Expansion	2008-06-16	Paper
Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function	2008-02-15	Paper
A singular control problem with an expected and a pathwise ergodic performance criterion	2007-09-10	Paper
The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure	2007-03-30	Paper
Impulse control of one-dimensional ito diffusions with an expected and a pathwise ergodic criterion	2006-10-25	Paper
Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions	2006-10-23	Paper
Sequential entry and exit decisions with an ergodic performance criterion	2006-09-04	Paper
A Model for Investments in the Natural Resource Industry with Switching Costs	2005-11-11	Paper
https://portal.mardi4nfdi.de/entity/Q4810080	2004-08-31	Paper
A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping	2004-01-08	Paper
A model for investment decisions with switching costs.	2003-05-06	Paper
Finite-Fuel Singular Control With Discretionary Stopping	2002-02-19	Paper
On the Epiconvergence of Stochastic Optimization Problems	2001-11-26	Paper
An investment model with entry and exit decisions	2001-04-19	Paper
On the relationship of the dynamic programing approach and the contingent claim approach to asset valuation	2000-05-24	Paper
A pair of explicitly solvable singular stochastic control problems	1998-12-07	Paper
Valuation of Investments in Real Assets with Implications for the Stock Prices	1998-09-21	Paper
A new proof of the discrete-time LQG optimal control theorems	1995-11-21	Paper
A problem of singular stochastic control with discretionary stopping	1994-06-19	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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