Oleksii Mostovyi

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Pricing of contingent claims in large markets Finance and Stochastics	2025-01-09	Paper
Stability of the Epstein-Zin problem Mathematical Finance	2024-11-20	Paper
The information premium on a finite probability space Missouri Journal of Mathematical Sciences	2024-08-12	Paper
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model Finance and Stochastics	2024-04-02	Paper
Differentiation of measures on an arbitrary measurable space Journal of Mathematical Analysis and Applications	2023-08-10	Paper
Fair pricing and hedging under small perturbations of the numéraire on a finite probability space Involve	2023-02-08	Paper
Stability of the indirect utility process SIAM Journal on Financial Mathematics	2021-07-05	Paper
Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space Involve	2021-06-30	Paper
Optimal investment and consumption with labor income in incomplete markets The Annals of Applied Probability	2020-08-17	Paper
Optimal investment and consumption with labor income in incomplete markets The Annals of Applied Probability	2020-08-17	Paper
Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire Stochastic Processes and their Applications	2020-05-26	Paper
On the analyticity of the value function in optimal investment and stochastically dominant markets	2020-02-03	Paper
Differentiation of measures on a non-separable space, and the Radon-Nikodym theorem	2019-09-08	Paper
Sensitivity analysis of the utility maximisation problem with respect to model perturbations Finance and Stochastics	2019-06-27	Paper
Optimal consumption of multiple goods in incomplete markets Journal of Applied Probability	2018-11-19	Paper
Optimal investment with intermediate consumption under no unbounded profit with bounded risk Journal of Applied Probability	2018-09-26	Paper
Optimal investment with intermediate consumption under no unbounded profit with bounded risk Journal of Applied Probability	2018-09-26	Paper
UTILITY MAXIMIZATION IN A LARGE MARKET Mathematical Finance	2018-04-13	Paper
Optimal investment with intermediate consumption and random endowment Mathematical Finance	2017-03-13	Paper
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption Finance and Stochastics	2015-01-19	Paper
On the stability the least squares Monte Carlo Optimization Letters	2013-03-07	Paper

Research outcomes over time

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