| Publication | Date of Publication | Type |
|---|
Separating times for one-dimensional general diffusions
The Annals of Applied Probability | 2026-03-10 | Paper |
Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
Finance and Stochastics | 2024-07-02 | Paper |
A Kolmogorov-Chentsov type theorem on general metric spaces with applications to limit theorems for Banach-valued processes
Journal of Theoretical Probability | 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
Journal of Mathematical Analysis and Applications | 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
Finance and Stochastics | 2021-11-02 | Paper |
Optimal trade execution in an order book model with stochastic liquidity parameters
SIAM Journal on Financial Mathematics | 2021-09-08 | Paper |
A functional limit theorem for coin tossing Markov chains
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2021-06-03 | Paper |
A functional limit theorem for coin tossing Markov chains
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2021-06-03 | Paper |
Sequential tracking of an unobservable two-state Markov process under Brownian noise
Sequential Analysis | 2021-04-29 | Paper |
Wasserstein convergence rates for random bit approximations of continuous Markov processes
Journal of Mathematical Analysis and Applications | 2020-10-28 | Paper |
Approximating exit times of continuous Markov processes
Discrete and Continuous Dynamical Systems. Series B | 2020-08-03 | Paper |
Minimal embeddings of integrable processes in a Brownian motion
Russian Mathematical Surveys | 2020-03-11 | Paper |
Optimal trade execution in order books with stochastic liquidity
Mathematical Finance | 2019-05-23 | Paper |
Regression-based complexity reduction of the nested Monte Carlo methods
SIAM Journal on Financial Mathematics | 2018-08-10 | Paper |
Regression-based variance reduction approach for strong approximation schemes
(available as arXiv preprint) | 2018-03-08 | Paper |
Truncated control variates for weak approximation schemes
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
Variance reduction for discretised diffusions via regression
Journal of Mathematical Analysis and Applications | 2017-11-02 | Paper |
A functional limit theorem for irregular SDEs
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2017-09-15 | Paper |
Necessary and sufficient conditions for the \(r\)-excessive local martingales to be martingales
Electronic Communications in Probability | 2017-02-07 | Paper |
Necessary and sufficient conditions for the \(r\)-excessive local martingales to be martingales
Electronic Communications in Probability | 2017-02-07 | Paper |
WLLN for arrays of nonnegative random variables
Statistics & Probability Letters | 2017-01-16 | Paper |
Processes that can be embedded in a geometric Brownian motion
Theory of Probability and its Applications | 2016-06-08 | Paper |
Numerical approximation of irregular SDEs via Skorokhod embeddings
Journal of Mathematical Analysis and Applications | 2016-05-30 | Paper |
On the loss of the semimartingale property at the hitting time of a level
Journal of Theoretical Probability | 2015-12-07 | Paper |
On the submartingale/supermartingale property of diffusions in natural scale
Proceedings of the Steklov Institute of Mathematics | 2015-08-20 | Paper |
Optimal trade execution and price manipulation in order books with time-varying liquidity
Mathematical Finance | 2014-11-05 | Paper |
Convergence of integral functionals of one-dimensional diffusions
Electronic Communications in Probability | 2014-09-24 | Paper |
A note on delta hedging in markets with jumps
IMA Journal of Applied Mathematics | 2014-05-30 | Paper |
Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models
Finance and Stochastics | 2012-11-15 | Paper |
Martingale property of generalized stochastic exponentials
Lecture Notes in Mathematics | 2012-08-29 | Paper |
On the martingale property of certain local martingales
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-03-01 | Paper |
A note on a paper by Wong and Heyde
Journal of Applied Probability | 2011-10-25 | Paper |
On minimax duality in optimal stopping
Sequential Analysis | 2010-10-01 | Paper |
Optimal stopping of integral functionals and a ``no-loss free boundary formulation
Theory of Probability & Its Applications | 2010-08-16 | Paper |
On a class of optimal stopping problems for diffusions with discontinuous coefficients
The Annals of Applied Probability | 2008-07-01 | Paper |
Optimal stopping via measure transformation: the Beibel–Lerche approach
Stochastics | 2007-03-30 | Paper |
| On the absolute continuity and singularity of measures on filtered spaces: separating times | 2006-10-23 | Paper |
On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems
Theory of Probability & Its Applications | 2005-10-28 | Paper |
Separating Times for Measures on Filtered Spaces
Theory of Probability & Its Applications | 2004-12-16 | Paper |
The use of separating times in proving singularity of Gaussian measures
Russian Mathematical Surveys | 2004-11-29 | Paper |
Optimal forecasting of the time of attaining the maximum by Brownian motion
Russian Mathematical Surveys | 2004-06-22 | Paper |
No-arbitrage conditions in discrete financial models
Russian Mathematical Surveys | 2002-03-05 | Paper |
