89 citations · 145 across the 17 of their papers we have counts for
19 papers
Backward martingale transport maps and equilibrium with insider
Dmitry Kramkov, Mihai Sîrbu
We consider an optimal transport problem with backward martingale constraint. The objective function is given by the scalar product of a pseudo-Euclidean space . We show that th…
Singularities of Fitzpatrick and convex functions
Dmitry Kramkov, Mihai Sîrbu
In a pseudo-Euclidean space with scalar product , we show that the singularities of projections on -monotone sets and of the associated Fitzpatrick functions ar…
Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces
Dmitry Kramkov, Mihai Sîrbu
We study an optimal transport problem with a backward martingale constraint in a pseudo-Euclidean space . We show that the dual problem consists in the minimization of the expec…
On the analyticity of the value function in optimal investment and stochastically dominant markets
Oleskii Mostovyi, Mihai Sîrbu, Thaleia Zariphopoulou
We study the analyticity of the value function in optimal investment with expected utility from terminal wealth and the relation to stochastically dominant financial models. We ide…
Optimal investment and consumption with labor income in incomplete markets
Oleksii Mostovyi, Mihai Sîrbu
We consider the problem of optimal consumption from labor income and investment in a general incomplete semimartingale market. The economic agent cannot borrow against future incom…
Sensitivity analysis of the utility maximization problem with respect to model perturbations
Oleksii Mostovyi, Mihai Sîrbu
We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming tha…