E. Boguslavskaya

activity

20152020

most citedAn explicit solution for optimal investment in Heston model

1 citations · 1 across the 2 of their papers we have counts for

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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 $I_{t} = \int_{0}^{t} e^{- (μ s + σ W_{s})} d s$ , where $μ \in R$ , $σ > 0$ , and $(W_{s})_{s} > 0$ 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…