2 citations · 4 across the 12 of their papers we have counts for
14 papers
Revisiting integral functionals of geometric Brownian motion
Elena Boguslavskaya, Lioudmila Vostrikova
In this paper we revisit the integral functional of geometric Brownian motion , where , , and is a standard Brow…
Utility maximization for L{é}vy switching models
Lioudmila Vostrikova, Yuchao Dong
This article is devoted to the maximisation of HARA utilities of L{é}vy switching process on finite time interval via dual method. We give the description of all f-divergence minim…
On The Ruin Problem With Investment When The Risky Asset Is A Semimartingale
Lioudmila Vostrikova, Jérôme Spielmann
In this paper, we study the ruin problem with investment in a general framework where the business part X is a L{é}vy process and the return on investment R is a semimartingale. We…
On distributions of exponential functionals of the processes with independent increments
L. Vostrikova
The aim of this paper is to study the laws of the exponential functionals of the processes with independent increments, namely and…
On moments of integral exponential functionals of additive processes
Paavo Salminen, Lioudmila Vostrikova
For real-valued additive process a recursive equation is derived for the entire positive moments of functionals $$I\_{s,t}= \int \_s^t\exp(-X\_u)du, \quad 0\leq…
On exponential functionals of processes with independent increments
P. Salminen, L. Vostrikova
In this paper we study the exponential functionals of the processes with independent increments , namely and also $$I_{\infty}=…
Utility Maximisation for Exponential Levy Models with option and information processes
Lioudmila Vostrikova
We consider expected utility maximisation problem for exponential Levy models and HARA utilities in presence of illiquid asset in portfolio. This illiquid asset is modelled by an o…
Utility maximisation and utility indifference price for exponential semi-martingale models with random factor
Anastasia Ellanskaya, Lioudmila Vostrikova
We consider utility maximization problem for semi-martingale models depending on a random factor . We reduce initial maximization problem to the conditional one, given , wh…
Levy preservation and associated properties for -divergence minimal equivalent martingale measures
S. Cawston, L. Vostrikova
We study such important properties of -divergence minimal martingale measure as Levy preservation property, scaling property, invariance in time property for exponential Levy mo…
An -divergence approach for optimal portfolios in exponential Levy models
S. Cawston, L. Vostrikova
We present a unified approach to get explicit formulas for utility maximising strategies in Exponential Levy models. This approach is related to -divergence minimal martingale m…
-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point
S. Cawston, L. Vostrikova
We study exponential Levy models with change-point which is a random variable, independent from initial Levy processes. On canonical space with initially enlarged filtration we des…
On continuity properties for option prices in exponential Lévy models
S. Cawston, L. Vostrikova
For a converging sequence of exponential Lévy models, we give conditions under which the associated sequence of option prices converges. We also study the behaviour of the prices w…
On the stability of call/put option's prices in incomplete models under statistical estimations
L. Vostrikova
In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure and corresponding martingale measure ch…
On regularity properties of Bessel flow
L. Vostrikova
We study the differentiability of Bessel flow , where is BES ) process of dimension starting from . For we prove the ex…