1 citations · 1 across the 5 of their papers we have counts for
5 papers
Revisiting integral functionals of geometric Brownian motion
Elena Boguslavskaya, Lioudmila Vostrikova
In this paper we revisit the integral functional of geometric Brownian motion , where , , and is a standard Brow…
Replication of Wiener-transformable stochastic processes with application to financial markets with memory
Elena Boguslavskaya, Yuliya Mishura, Georgiy Shevchenko
We investigate Wiener-transformable markets, where the driving process is given by an adapted transformation of a Wiener process. This includes processes with long memory, like fra…
Utility maximization in Wiener-transformable markets
Elena Boguslavskaya, Yuliya Mishura
We consider a utility maximization problem in a broad class of markets. Apart from traditional semimartingale markets, our class of markets includes processes with long memory, fra…
An explicit solution for optimal investment in Heston model
Elena Boguslavskaya, Dmitry Muravey
In this paper we consider a variation of the Merton's problem with added stochastic volatility and finite time horizon. It is known that the corresponding optimal control problem m…
Solving optimal stopping problems for Lévy processes in infinite horizon via -transform
Elena Boguslavskaya
We present a method to solve optimal stopping problems in infinite horizon for a Lévy process when the reward function can be non-monotone. To solve the problem we introduce two ne…