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Fakultät für Mathematik
Anschrift
Thea-Leymann-Str. 9
45127 Essen
Raum
WSC-W-3.25

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

  • 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
    ISSN: 1467-9965; 0960-1627
  • 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
    ISSN: 1945-497X
  • 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
    ISSN: 0378-4754
  • 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
    ISSN: 0022-247X
  • Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail
    A functional limit theorem for irregular SDEs
    In: Annales de l'institut Henri Poincare (B) Probability and Statistics Jg. 53 (2017) Nr. 3, S. 1438 - 1457
    ISSN: 0246-0203
  • 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
    ISSN: 1083-589X
  • Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail
    WLLN for arrays of nonnegative random variables
    In: Statistics and Probability Letters Jg. 122 (2017) S. 73 - 78
    ISSN: 0167-7152
  • 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
    ISSN: 0022-247X
  • Gushchin, A. A.; Urusov, Mikhail
    Processes that can be embedded in a geometric Brownian motion
    In: Theory of probability and its applications Jg. 60 (2016) Nr. 2, S. 246 - 262
    ISSN: 1095-7219
  • 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
    ISSN: 1572-9230
  • 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
    ISSN: 1464-3634
  • 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
    ISSN: 1531-8605
  • 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
    ISSN: 1467-9965
  • Mijatovic, Aleksandar; Urusov, Mikhail
    Convergence of integral functionals of one-dimensional diffusions
    In: Electronic Communications in Probability Jg. 17 (2012) S. 61
    ISSN: 1083-589X
  • 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
    ISSN: 1432-1122
  • 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
    ISSN: 1432-2064
  • Mijatovic, Aleksandar; Urusov, Mikhail
    A note on a paper by Wong and Heyde
    In: Journal of applied probability Jg. 48 (2011) Nr. 3, S. 811 - 819
    ISSN: 1475-6072
  • Lerche, Hans Rudolf; Urusov, Mikhail
    On minimax duality in optimal stopping
    In: Sequential analysis Jg. 29 (2010) Nr. 3, S. 328 - 342
    ISSN: 1532-4176
  • 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 Jg. 54 (2010) Nr. 1, S. 14 - 28
    ISSN: 1095-7219
  • 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
  • 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
  • Lerche, Hans Rudolf; Urusov, Mikhail
    Optimal stopping via measure transformation : the Beibel–Lerche approach
    In: Stochastics Jg. 79 (2007) Nr. 3-4, S. 275 - 291
    ISSN: 1744-2516; 1045-1129
  • 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
    ISSN: 1095-7219
  • 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
    ISSN: 1095-7219
  • 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
    ISSN: 1468-4829
  • 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
    ISSN: 1468-4829
  • Urusov, Mikhail
    No-arbitrage conditions in discrete financial models
    In: Russian mathematical surveys Jg. 54 (1999) Nr. 5, S. 1053 - 1055
    ISSN: 1468-4829
  • 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 / Konakov, Valentin; 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.), 2017, S. 131 - 178
    ISBN: 9783319653129 ISSN: 2194-1017; 2194-1009
  • 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.), 2012, S. 41 - 59
    ISBN: 978-3-642-27460-2; 978-3-642-27461-9
  • Cherny, Alexander; Urusov, Mikhail
    On the Absolute Continuity and Singularity of Measures on Filtered Spaces : Separating Times
    In: From stochastic calculus to mathematical finance 2006
    ISBN: 978-3-540-30782-2; 978-3-540-30788-4