1 citations · 1 across the 2 of their papers we have counts for
3 papers
math.PR2020
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…
math.PR2018
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…
q-fin.MF2015★ 1 cited
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…