89 citations · 145 across the 17 of their papers we have counts for
9 papers · 1 filter
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…
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…
Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
Daniel Hernández-Hernández, Mihai Sîrbu
For a zero-sum stochastic game which does not satisfy the Isaacs condition, we provide a value function representation for an Isaacs-type equation whose Hamiltonian lies in between…
Stochastic Perron's method for Hamilton-Jacobi-Bellman equations
Erhan Bayraktar, Mihai Sirbu
We show that the value function of a stochastic control problem is the unique solution of the associated Hamilton-Jacobi-Bellman (HJB) equation, completely avoiding the proof of th…