6 citations · 7 across the 8 of their papers we have counts for
8 papers
On convergence of the Mayer problems arising in the theory of financial markets with transaction cost
Yuri Kabanov, Artur Sidorenko
The geometric approach to financial markets with proportional transaction cost prescribes to imbed a specific model (of stock market, of currency market etc.), usually given in a p…
Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon
Anton O. Belyakov, Yuri M. Kabanov, Ivan A. Terekhov +1
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimalit…
Distributional equations and the ruin problem for the Sparre Andersen model with investments
Yuri Kabanov, Danil Legenkiy, Platon Promyslov
This note is an addendum to the work initiated by Eberlein, Kabanov, and Schmidt and developed further by Kabanov and Promyslov on the asymptotics of the ruin probabilities in the…
On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model
Yuri Kabanov, Mikhail A. Sonin
We consider a stochastic volatility model where the price evolution depend on the exponential of the Ornstein--Uhlenbeck process. After a brief revision of the related theory the e…
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions
Viktor Antipov, Yuri Kabanov
The study deals with the ruin problem when an insurance company invests its reserve in a risky asset whose the price dynamics is given by a geometric Lévy process. Considering the…
Optimal pair trading: consumption-investment problem
Yuri Kabanov, Aleksei Kozhevnikov
We expose a simple solution of the consumption-investment problem pair trading. The proof is based on the remark that the HJB equation can be reduced to a linear parabolic equation…
Ruin probabilities with investments in random environment: smoothness
Viktor Antipov, Yuri Kabanov
The paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motio…
Ruin Probabilities for a Sparre Andersen Model with Investments: the Case of Annuity Payments
Yuri Kabanov, Platon Promyslov
This note is a complement to the paper by Eberlein, Kabanov, and Schmidt on the asymptotic of the ruin probability in a Sparre Andersen non-life insurance model with investments a…