22 citations · 60 across the 23 of their papers we have counts for
31 papers
Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We analyze a continuous-time optimal trade execution problem in multiple assets where the price impact and the resilience can be matrix-valued stochastic processes that incorporate…
No arbitrage and the existence of ACLMMs in general diffusion models
David Criens, Mikhail Urusov
In a seminal paper, F. Delbaen and W. Schachermayer proved that the classical NA ("no arbitrage") condition implies the existence of an "absolutely continuous local martingale meas…
On the representation property for 1D general diffusion semimartingales
David Criens, Mikhail Urusov
A general diffusion semimartingale is a one-dimensional path-continuous semimartingale that is also a regular strong Markov process. We say that a continuous semimartingale has the…
Criteria for the absence of arbitrage in general diffusion markets
David Criens, Mikhail Urusov
We establish deterministic necessary and sufficient conditions for the no-arbitrage notions NA ("no arbitrage"), NUPBR ("no unbounded profit with bounded risk") and NFLVR ("no free…
Separating Times for One-Dimensional General Diffusions
David Criens, Mikhail Urusov
The separating time for two probability measures on a filtered space is an extended stopping time which captures the phase transition between equivalence and singularity. More spec…
Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We start with a stochastic control problem where the control process is of finite variation (possibly with jumps) and acts as integrator both in the state dynamics and in the targe…