22 citations · 60 across the 23 of their papers we have counts for
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math.PR2022★ 2 cited
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…
math.OC2022★ 2 cited
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…