3 papers
math.OC2026
Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We analyze a continuous-time optimal trade execution problem in multiple assets where the price impact and the resilience can be matrix-valued stochastic processes that incorporate…
math.PR2025
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…
q-fin.MF2024
No arbitrage and the existence of ACLMMs in general diffusion models
David Criens, Mikhail Urusov
In a seminal paper, F. Delbaen and W. Schachermayer proved that the classical NA ("no arbitrage") condition implies the existence of an "absolutely continuous local martingale meas…