8 citations · 8 across the 2 of their papers we have counts for
8 papers
Stability of the indirect utility process
Oleksii Mostovyi
We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the re…
Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space
Sarah Boese, Tracy Cui, Samuel Johnston +2
First, we consider the problem of hedging in complete binomial models. Using the discrete-time Föllmer-Schweizer decomposition, we demonstrate the equivalence of the backward induc…
Differentiation of measures on a non-separable space, and the Radon-Nikodym theorem
Oleksii Mostovyi, Pietro Siorpaes
Given positive measures on an arbitrary measurable space , we construct a sequence of finite partitions of s.t. $$ \sum_{A\in π_n…
Optimal investment and consumption with labor income in incomplete markets
Oleksii Mostovyi, Mihai Sîrbu
We consider the problem of optimal consumption from labor income and investment in a general incomplete semimartingale market. The economic agent cannot borrow against future incom…
Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
Oleksii Mostovyi
In an incomplete model, where under an appropriate numéraire, the stock price process is driven by a sigma-bounded semimartingale, we investigate the behavior of the expected utili…
Sensitivity analysis of the utility maximization problem with respect to model perturbations
Oleksii Mostovyi, Mihai Sîrbu
We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming tha…