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math.PR2010
Martingale property of generalized stochastic exponentials
Aleksandar Mijatović, Nika Novak, Mikhail Urusov
For a real Borel measurable function b, which satisfies certain integrability conditions, it is possible to define a stochastic integral of the process b(Y) with respect to a Brown…
math.PR2008★ 22 cited
On a class of optimal stopping problems for diffusions with discontinuous coefficients
Ludger Rüschendorf, Mikhail A. Urusov
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of th…