4 papers
Convergence Rates of Continuous-Time Random Walks to Time-Fractional Diffusions with Unbounded Coefficients
Artur Sidorenko, Vasilii Kolokoltsov
We investigate uniform weak convergence rates for probabilistic numerical methods applied to backward time-fractional diffusion equations whose dynamics are driven by diffusions wi…
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…
Skorokhod Transition in the Conic Market Model
Artur Sidorenko
This paper examines the applicability of the Skorokhod representation theorem in filtrated probability spaces for the utility maximization problem in the Kabanov conic model of mul…
Well-posedness of behavioral singular stochastic control problems
Artur Sidorenko
We investigate the well-posedness of a general class of singular stochastic control problems in which controls are processes of finite variation. We develop an abstract framework,…