22 citations · 60 across the 23 of their papers we have counts for
20 papers · 1 filter
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…
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…
A general Kolmogorov-Chentsov type theorem on general metric spaces with applications to limit theorems for Banach-valued processes
Volker Kratschmer, Mikhail Urusov
The paper deals with moduli of continuity for paths of random processes indexed by a general metric space with values in a general metric space . Adapting the mome…
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in continuous time. Both order book de…
Properties of the EMCEL scheme for approximating irregular diffusions
Stefan Ankirchner, Thomas Kruse, Wolfgang Löhr +1
We prove several properties of the EMCEL scheme, which is capable of approximating one-dimensional continuous strong Markov processes in distribution on the path space (the scheme…
Sequential tracking of an unobservable two-state Markov process under Brownian noise
Alexey Muravlev, Mikhail Urusov, Mikhail Zhitlukhin
We consider an optimal control problem, where a Brownian motion with drift is sequentially observed, and the sign of the drift coefficient changes at jump times of a symmetric two-…