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Prof. Mikhail Urusov

Fakultät für Mathematik

Anschrift
Thea-Leymann-Str. 9
45127 Essen
Raum
WSC-W-3.25
Telefon
+ 49 201 183 74 28
E-Mail
mikhail.urusov@uni-due.de

Funktionen

  • ---, Mathematik

  • Professor/in, Personal FB Mathematik, Campus Essen

Die folgenden Publikationen sind in der Online-Universitätsbibliographie der Universität Duisburg-Essen verzeichnet. Weitere Informationen finden Sie gegebenenfalls auch auf den persönlichen Webseiten der Person.

    Artikel in Zeitschriften

  • Criens, David; Urusov, Mikhail
    On the Representation Property for 1D General Diffusion Semimartingales
    In: Theory of Probability and its Applications: a publication of the Society for Industrial and Applied Mathematics, Jg. 69, 2025, Nr. 4, S. 579 – 591
    DOI, Online Volltext (Open Access)
  • Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
    Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems
    In: Finance and Stochastics, 2024, Nr. 28, S. 813 – 863
    DOI (Open Access)
  • Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
    Self-exciting price impact via negative resilience in stochastic order books
    In: Annals of Operations Research, Jg. 336, 2024, Nr. 1-2, S. 637 – 659
    DOI (Open Access)
  • Krätschmer, Volker; Urusov, Mikhail
    A Kolmogorov–Chentsov Type Theorem on General Metric Spaces with Applications to Limit Theorems for Banach-Valued Processes
    In: Journal of Theoretical Probability, Jg. 36, 2023, Nr. 3, S. 1454 – 1486
    DOI (Open Access)
  • Ankirchner, Stefan; Kruse, Thomas; Löhr, Wolfgang; Urusov, Mikhail
    Properties of the EMCEL scheme for approximating irregular diffusions
    In: Journal of Mathematical Analysis and Applications, Jg. 509, 2022, Nr. 1, 125931
    DOI, Online Volltext (Open Access)
  • Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
    Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
    In: Finance and Stochastics, Jg. 25, 2021, Nr. 4, S. 757 – 810
    DOI, Online Volltext (Open Access)
  • Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
    Optimal trade execution in an order book model with stochastic liquidity parameters
    In: SIAM Journal on Financial Mathematics, Jg. 12, 2021, Nr. 2, S. 788 – 822
    DOI, Online Volltext (Open Access)
  • Muravlev, Alexey; Urusov, Mikhail; Zhitlukhin, Mikhail
    Sequential tracking of an unobservable two-state Markov process under Brownian noise
    In: Sequential Analysis, Jg. 40, 2021, Nr. 1, S. 1 – 16
    DOI, Online Volltext (Open Access)
  • Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail
    Wasserstein convergence rates for random bit approximations of continuous Markov processes
    In: Journal of Mathematical Analysis and Applications, Jg. 493, 2021, Nr. 2, 124543
    DOI, Online Volltext (Open Access)
  • Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail
    A functional limit theorem for coin tossing Markov chains
    In: Annales de l'Institut Henri Poincaré (B): Probability and Statistics, Jg. 56, 2020, Nr. 4, S. 2996 – 3019
    DOI, Online Volltext (Open Access)
  • Kruse, Thomas; Urusov, Mikhail
    Approximating exit times of continuous markov processes
    In: Discrete and Continuous Dynamical Systems: Series B (DCDS-B), Jg. 25, 2020, Nr. 9, S. 3631 – 3650
    DOI, Online Volltext (Open Access)
  • Gushchin, A. A.; Urusov, Mikhail
    Minimal embeddings of integrable processes in a Brownian motion
    In: Russian Mathematical Surveys, Jg. 74, 2019, Nr. 5, S. 953 – 955
    DOI
  • Fruth, Antje; Schöneborn, Torsten; Urusov, Mikhail
    Optimal trade execution in order books with stochastic liquidity
    In: Mathematical Finance, Jg. 29, 2019, Nr. 2, S. 507 – 541
    DOI
  • Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
    Regression-based complexity reduction of the nested monte carlo methods
    In: SIAM Journal on Financial Mathematics, Jg. 9, 2018, Nr. 2, S. 665 – 689
    DOI, Online Volltext (Open Access)
  • Belomestny, Denis; Häfner, S.; Urusov, Mikhail
    Stratified regression-based variance reduction approach for weak approximation schemes
    In: Mathematics and Computers in Simulation, Jg. 143, 2018, S. 125 – 137
    DOI, Online Volltext (Open Access)
  • Belomestny, Denis; Häfner, Stefan; Nagapetyan, Tigran; Urusov, Mikhail
    Variance reduction for discretised diffusions via regression
    In: Journal of Mathematical Analysis and Applications, Jg. 458, 2018, Nr. 1, S. 393 – 418
    DOI, Online Volltext (Open Access)
  • Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail
    A functional limit theorem for irregular SDEs
    In: Annales de l'Institut Henri Poincaré (B): Probability and Statistics, Jg. 53, 2017, Nr. 3, S. 1438 – 1457
    DOI, Online Volltext (Open Access)
  • Urusov, Mikhail; Zervos, Mihail
    Necessary and sufficient conditions for the r-excessive local martingales to be martingales
    In: Electronic Communications in Probability, Jg. 22, 2017, S. 10
    DOI (Open Access)
  • Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
    Truncated control variates for weak approximation schemes
    In: ESAIM: Proceedings and Surveys, Jg. 59, 2017, S. 15 – 42
    DOI (Open Access)
  • Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail
    WLLN for arrays of nonnegative random variables
    In: Statistics and Probability Letters, Jg. 122, 2017, S. 73 – 78
    DOI
  • Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail
    Numerical approximation of irregular SDEs via Skorokhod embeddings
    In: Journal of Mathematical Analysis and Applications, Jg. 440, 2016, Nr. 2, S. 692 – 715
    DOI
  • Gushchin, A. A.; Urusov, Mikhail
    Processes that can be embedded in a geometric Brownian motion
    In: Theory of Probability and its Applications: a publication of the Society for Industrial and Applied Mathematics, Jg. 60, 2016, Nr. 2, S. 248 – 271
    DOI, Online Volltext
  • Mijatovic, Aleksandar; Urusov, Mikhail
    On the Loss of the Semimartingale Property at the Hitting Time of a Level
    In: Journal of Theoretical Probability, Jg. 28, 2015, Nr. 3, S. 892 – 922
    DOI, Online Volltext (Open Access)
  • Mijatovic, Aleksandar; Urusov, Mikhail
    A note on delta hedging in markets with jumps
    In: IMA Journal of Applied Mathematics, Jg. 79, 2014, Nr. 2, S. 300 – 312
    DOI
  • Gushchin, Alexander; Urusov, Mikhail; Zervos, Mihail
    On the submartingale/supermartingale property of diffusions in natural scale
    In: Proceedings of the Steklov Institute of Mathematics, Jg. 287, 2014, Nr. 1, S. 122 – 132
    DOI
  • Fruth, Antje; Schöneborn, Torsten; Urusov, Mikhail
    Optimal trade execution and price manipulation in order books with time-varying liquidity
    In: Mathematical Finance, Jg. 24, 2014, Nr. 4, S. 651 – 695
    DOI
  • Mijatovic, Aleksandar; Urusov, Mikhail
    Convergence of integral functionals of one-dimensional diffusions
    In: Electronic Communications in Probability, Jg. 17, 2012, S. 61
    DOI (Open Access)
  • Mijatovic, Aleksandar; Urusov, Mikhail
    Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
    In: Finance and Stochastics, Jg. 16, 2012, Nr. 2, S. 225 – 247
    DOI
  • Mijatovic, Aleksandar; Urusov, Mikhail
    On the martingale property of certain local martingales
    In: Probability Theory and Related Fields, Jg. 152, 2012, Nr. 1, S. 1 – 30
    DOI
  • Mijatovic, Aleksandar; Urusov, Mikhail
    A note on a paper by Wong and Heyde
    In: Journal of Applied Probability (JAP), Jg. 48, 2011, Nr. 3, S. 811 – 819
    DOI
  • Lerche, Hans Rudolf; Urusov, Mikhail
    On minimax duality in optimal stopping
    In: Sequential Analysis, Jg. 29, 2010, Nr. 3, S. 328 – 342
    DOI
  • Belomestny, Denis; Rüschendorf, L.; Urusov, Mikhail
    Optimal Stopping of Integral Functionals and a “No-Loss” Free Boundary Formulation
    In: Theory of Probability and its Applications: a publication of the Society for Industrial and Applied Mathematics, Jg. 54, 2010, Nr. 1, S. 14 – 28
    DOI
  • Engelbert, H.-J.; Urusov, Mikhail; Walther, M.
    A canonical setting and separating times for continuous local martingales
    In: Stochastic Processes and their Applications, Jg. 119, 2009, Nr. 4, S. 1039 – 1054
    DOI
  • Rüschendorf, Ludger; Urusov, Mikhail
    On a Class of Optimal Stopping Problems for Diffusions with Discontinuous Coefficients
    In: The annals of applied probability, Jg. 18, 2008, Nr. 3, S. 847 – 878
    DOI
  • Lerche, Hans Rudolf; Urusov, Mikhail
    Optimal stopping via measure transformation : the Beibel–Lerche approach
    In: Stochastics: An International Journal of Probability and Stochastic Processes, Jg. 79, 2007, Nr. 3-4, S. 275 – 291
    DOI
  • Urusov, Mikhail
    On a property of the time of attaining the maximum by Brownian motion and some optimal stopping problems
    In: Theory of probability and its applications, Jg. 49, 2005, Nr. 1, S. 169 – 176
    DOI
  • Cherny, Alexander; Urusov, Mikhail
    Separating Times for Measures on Filtered Spaces
    In: Theory of probability and its applications, Jg. 48, 2004, Nr. 2, S. 337 – 347
    DOI
  • Urusov, Mikhail
    The use of separating times in proving singularity of Gaussian measures
    In: Russian mathematical surveys, Jg. 58, 2003, Nr. 4, S. 807 – 809
    DOI
  • Urusov, Mikhail
    Optimal forecasting of the time of attaining the maximum by Brownian motion
    In: Russian mathematical surveys, Jg. 57, 2002, Nr. 1, S. 163 – 164
    DOI
  • Urusov, Mikhail
    No-arbitrage conditions in discrete financial models
    In: Russian mathematical surveys, Jg. 54, 1999, Nr. 5, S. 1053 – 1055
    DOI

    • Preprints

  • Belomestny, Denis; Moulines, Eric; Shagadatov, Nurlan; Urusov, Mikhail
    Variance reduction for MCMC methods via martingale representations
    2019
    Online Volltext (Open Access)

    • Beiträge in Sammelwerken und Tagungsbänden

  • Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
    Regression-Based Variance Reduction Approach for Strong Approximation Schemes
    In: Modern Problems of Stochastic Analysis and Statistics: Selected Contributions In Honor of Valentin Konakov / International Conference on Modern problems of stochastic analysis and statistics, in honor On the occasion of Valentin Konakov’s 70th birthday, 2016; Moscow; Russian Federation; 29 May 2016 through 2 June 2016 / Panov, Vladimir (Hrsg.). Berlin: Springer, 2017, S. 131 – 178
    DOI
  • Mijatovic, Aleksandar; Novak, Nika; Urusov, Mikhail
    Martingale Property of Generalized Stochastic Exponentials
    In: Séminaire de probabilités XLIV / Donati-Martin, Catherine; Lejay, Antoine; Rouault, Alain (Hrsg.). Berlin ; Heidelberg: Springer, 2012, S. 41 – 59
    DOI
  • Cherny, Alexander; Urusov, Mikhail
    On the Absolute Continuity and Singularity of Measures on Filtered Spaces : Separating Times
    In: From stochastic calculus to mathematical finance. Berlin [u.a.]: Springer, 2006
    DOI

    • Working Paper

  • Ankirchner, Stefan; Klein, Maike; Kruse, Thomas; Urusov, Mikhail
    On a certain local martingale in a general diffusion setting
    2018
    Online Volltext
  • Carr, Peter; Cherny, Alexander; Urusov, Mikhail
    On the martingale property of time-homogeneous diffusions
    2007
    DOI, Online Volltext (Open Access)