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Preprints
- Pricing of Contingent Claims in Large Markets
with P. Siorpaes, submitted (2023), 50 pages.
[pdf]
- Stability of the Epstein-Zin Problem
with M. Monoyios, submitted (2023), 32 pages.
[arXiv]
- Representation of Indifference Prices on a Finite Probability Space
with J. Freitas and J. Huang, preprint (2023), 21 pages.
[pdf]
This paper is part of an REU project conducted under my supervision.
- On Perturbations of Preferences and Indifference Price Invariance
with A. Teplyaev, preprint (2022), 39 pages.
[pdf]
Published/accepted papers
- On the Analyticity of the Value Function in Optimal Investment and Stochastically Dominant Markets
with M. Sîrbu and T. Zariphopoulou, accepted in "Special Issue on Control, Systems Theory and Related Topics dedicated to Professor Wendell Fleming" (2023), 40 pages.
[arXiv]
- Differentiation of Measures on an Arbitrary Measurable Space
with P. Siorpaes, Journal of Mathematical Analysis and Applications (2023), published online, 25 pages. [preprint]
[earlier version]
- Quadratic Expansions in Optimal Investment with Respect to Perturbations of the Semimartingale Model
with M. Sîrbu, accepted in Finance and Stochastics (2023), 51 page.
[pdf]
- The Information Premium on a Finite Probability Space
with J. Koerner and J.S. Lee, accepted in the Missouri Journal of Mathematical Sciences (2023), 19 pages.
[pdf]
This paper is part of an REU project conducted under my supervision.
- Fair Pricing and Hedging Under Small Perturbations of the Numéraire on a Finite Probability Space
with W. Busching, D. Hintz, and A. Pozdnyakov, Involve (2022), Vol. 15(4), pp. 649-668.
[published version]
[arXiv]
This paper is part of an REU project conducted under my supervision.
- Asymptotic Analysis of the Expected Utility Maximization when Wealth Can Become Negative
Thesis of my Ph.D. student O. Pavlenko (2022).
[pdf]
- Stability of the Indirect Utility Process
SIAM Journal on Financial Mathematics (2021), Vol. 12(2) pp. 641-671. [published version]
[arXiv]
- Optimal Investment and Consumption with Labor Income in Incomplete Markets
with M. Sîrbu, Annals of Applied Probability (2020),
Vol. 30(2), pp. 747-787.
[published version] [arXiv]
- Asymptotic Analysis of the Expected Utility Maximization Problem with Respect to Perturbations of the Numéraire
Stochastic Processes and their Applications (2020), Vol. 130(7) pp. 4444-4469.
[published version] [arXiv]
- Stability and Asymptotic Analysis of the Föllmer-Schweizer Decomposition on a Finite Probability Space
with S. Boese, T. Cui, S. Johnston, and G. Molino, Involve (2020), Vol. 13(4), pp. 607-623. [published version][arXiv]
This paper is part of an REU project conducted under my supervision.
- Sensitivity Analysis of the Utility Maximization Problem with Respect to Model Perturbations
with M. Sîrbu, Finance and Stochastics (2019), Vol. 23(3), pp. 595-640. [published version] [arXiv]
- Utility Maximization in a Large Market
Mathematical Finance (2018), Vol. 28(1): pp. 106-118. [published version] [arXiv]
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An Expansion in the Model Space in the Context of Utility Maximization
with K. Larsen and G. Žitković, Finance and Stochastics (2018), Vol. 22(2), pp. 297-326. [published version] [arXiv]
- Optimal Consumption of Multiple Goods in Incomplete Markets
Journal of Applied Probability (2018), Vol. 55(3), pp. 810-822. [published version] [arXiv]
- Optimal Investment with Intermediate Consumption under No Unbounded Profit with Bounded Risk
with H. Chau, A. Cosso, and C. Fontana, Journal of Applied Probability (2017), Vol. 54(3), pp. 710-719. [published version] [arXiv]
- Optimal
Investment with Intermediate Consumption and Random Endowment
Mathematical Finance (2017), Vol. 27(1), pp. 96-114.
[published version] [arXiv]
- Necessary and Sufficient Conditions in the Problem of Optimal
Investment with Intermediate Consumption
Finance and Stochastics (2015), Vol. 19(1), pp. 135-159.
[published version] [arXiv]
- On the Stability of the Least Squares Monte Carlo
Optimization Letters (2013), Vol. 7(2), pp. 259-265. [published version] [arXiv]
- On Maximum Speedup Ratio of Restart Algorithms Portfolios
with O. Prokopyev and O. Shylo, INFORMS Journal on Computing (2013), Vol. 25(2), pp. 222-229.
- Signal Processing under Active Monitoring
Information Theories and Applications (2005), Vol. 12, pp. 49-56.
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