4 papers
On convergence of the Mayer problems arising in the theory of financial markets with transaction cost
Yuri Kabanov, Artur Sidorenko
The geometric approach to financial markets with proportional transaction cost prescribes to imbed a specific model (of stock market, of currency market etc.), usually given in a p…
Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon
Anton O. Belyakov, Yuri M. Kabanov, Ivan A. Terekhov +1
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimalit…
Distributional equations and the ruin problem for the Sparre Andersen model with investments
Yuri Kabanov, Danil Legenkiy, Platon Promyslov
This note is an addendum to the work initiated by Eberlein, Kabanov, and Schmidt and developed further by Kabanov and Promyslov on the asymptotics of the ruin probabilities in the…
On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model
Yuri Kabanov, Mikhail A. Sonin
We consider a stochastic volatility model where the price evolution depend on the exponential of the Ornstein--Uhlenbeck process. After a brief revision of the related theory the e…