Oleksii Mostovyi

Associate Professor (promoted to Professor, effective August 23, 2026)

Department of Mathematics
University of Connecticut

Welcome to my homepage. I am an Associate Professor in the Department of Mathematics at the University of Connecticut and will become Professor on August 23, 2026. My research interests include mathematical finance, probability, stochastic control, and related areas.

Curriculum Vitae
(Updated on 06/25/2026)

Contact Information:
University of Connecticut
Department of Mathematics
U1009
341 Mansfield Road
Storrs, CT 06269-1009
    Phone: 1(860)486-6322 (office)
    Fax: 1(860)486-4238
    E-mail: oleksii.mostovyi@uconn.edu

Preprints

Second-Order Envelope Theorems in Portfolio Optimization
preprint (2026), 28 pages. [pdf]
Duality for Optimal Stopping in Continuous Time
with X. Ma, preprint (2026), 20 pages. [pdf]
An Approach to the Greeks for Indifference Pricing
preprint (2026), 52 pages. [pdf]
The Indifference Value of the Weak Information
with F. Baudoin, preprint (2025), 27 pages. [pdf]
On Perturbations of Preferences and Indifference Price Invariance
with A. Teplyaev, preprint (2024), 38 pages. [pdf]

Published/accepted papers

The Value of Partial Jump Information
with P. Ernst, accepted in Mathematics of Operations Research (2026), 22 pages. [pdf]
Pricing of Contingent Claims in Large Markets
with P. Siorpaes, Finance and Stochastics (2025), Vol. 29(1), pp. 177-217. [published version]
Representation of Indifference Prices on a Finite Probability Space
with J. Freitas and J. Huang, Involve (2025), Vol. 18(3), pp. 495-516. [published version]
This paper is part of an REU project conducted under my supervision.
Quadratic Expansions in Optimal Investment with Respect to Perturbations of the Semimartingale Model
with M. Sîrbu, Finance and Stochastics (2024), Vol. 28(2), pp. 553-613. [published version]
Stability of the Epstein-Zin Problem
with M. Monoyios, Mathematical Finance (2024), Vol. 34(4), pp. 1263-1290. [arXiv] [published version]
On the Analyticity of the Value Function in Optimal Investment and Stochastically Dominant Markets
with M. Sîrbu and T. Zariphopoulou, Pure and Applied Functional Analysis: Special Issue "Control, Systems Theory and Related Topics Dedicated to the memory of Professor Wendell H. Fleming" (2024), Vol. 9(3), pp. 825-862. [arXiv] [published version]
The Information Premium on a Finite Probability Space
with J. Koerner and J.S. Lee, Missouri Journal of Mathematical Sciences (2024), Vol. 36(1), pp. 68-88. [published version]
This paper is part of an REU project conducted under my supervision.
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]
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]
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.