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Kabanov, Yuriĭ Mikhaĭlovich

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Author ID: kabanov.yuri-m Recent zbMATH articles by "Kabanov, Yuriĭ Mikhaĭlovich"
Published as: Kabanov, Yu. M.; Kabanov, Yuri; Kabanov, Yuri M.; Kabanov, Ju. M.; Kabanov, Yu.; Kabanov, Yuriy; Kabanov, Y.
Homepage: http://ykabanov.perso.math.cnrs.fr/page_youri_model16.htm
External Links: MGP · Math-Net.Ru
Documents Indexed: 113 Publications since 1973, including 6 Books
Reviewing Activity: 85 Reviews
Biographic References: 1 Publication

Publications by Year

Citations contained in zbMATH Open

86 Publications have been cited 1,267 times in 849 Documents Cited by Year
Markets with transaction costs. Mathematical theory. Zbl 1186.91006
Kabanov, Yuri M.; Safarian, Mher
117
2009
Bond market structure in the presence of marked point processes. Zbl 0884.90014
Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang
97
1997
Hedging and liquidation under transaction costs in currency markets. Zbl 0926.60036
Kabanov, Yu. M.
95
1999
Towards a general theory of bond markets. Zbl 0889.90019
Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang
69
1997
In the insurance business risky investments are dangerous. Zbl 1002.91037
Frolova, Anna; Kabanov, Yuri; Pergamenshchikov, Serguei
54
2002
Asymptotic arbitrage in large financial markets. Zbl 0894.90020
Kabanov, Yu. M.; Kramkov, D. O.
45
1998
On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Zbl 1073.91034
Kabanov, Yuri M.; Stricker, Christophe
45
2002
The Harrison-Pliska arbitrage pricing theorem under transaction costs. Zbl 0986.91012
Kabanov, Yu. M.; Stricker, Ch.
41
2001
Mean-variance hedging of options on stocks with Markov volatilities. Zbl 0836.60075
Di Masi, G. B.; Kabanov, Yu. M.; Runggaldier, W. J.
40
1994
Two-scale stochastic systems. Asymptotic analysis and control. Zbl 1033.60001
Kabanov, Yu.; Pergamenshchikov, S.
39
2003
Non-arbitrage criteria for financial markets with efficient friction. Zbl 1026.60051
Kabanov, Yuri; Rásonyi, Miklós; Stricker, Christophe
38
2002
Optional decomposition and Lagrange multipliers. Zbl 0894.90016
Föllmer, H.; Kabanov, Yu. M.
35
1998
Large financial markets: Asymptotic arbitrage and contiguity. Zbl 0834.90018
Kabanov, Yu. M.; Kramkov, D. O.
34
1994
On Leland’s strategy of option pricing with transactions costs. Zbl 0911.90027
Kabanov, Yuri M.; Safarian, Mher M.
32
1997
A teachers’ note on no-arbitrage criteria. Zbl 0982.60032
Kabanov, Yuri; Stricker, Christophe
31
2001
On the question of absolute continuity and singularity of probability measures. Zbl 0398.60044
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
30
1977
On the FTAP of Kreps-Delbaen-Schachermayer. Zbl 0926.91017
Kabanov, Yu. M.
28
1997
On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property. Zbl 1064.60085
Kabanov, Yuri; Rásonyi, Miklós; Stricker, Christophe
27
2003
Hedging under transaction costs in currency markets: A continuous-time model. Zbl 1008.91049
Kabanov, Yuri M.; Last, Günter
22
2002
On extended stochastic integrals. Zbl 0355.60047
Kabanov, Ju. M.
17
1975
Absolute continuity and singularity of locally absolutely continuous probability distributions. I. Zbl 0426.60039
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
15
1979
Mean square error for the Leland-Lott hedging strategy: convex pay-offs. Zbl 1233.91262
Denis, Emmanuel; Kabanov, Yuri
13
2010
No-arbitrage and equivalent martingale measures: An elementary proof of the Harrison-Pliska theorem. Zbl 0834.60045
Kabanov, Yu. M.; Kramkov, D. O.
13
1994
Toward the theory of pricing of options of both European and American types. II: Continuous time. Zbl 0833.60065
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.
13
1994
Hedging of contingent claims under transaction costs. Zbl 1016.91043
Kabanov, Yuri M.; Stricker, Christophe
13
2002
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs. Zbl 1262.60038
Denis, Emmanuel; Kabanov, Yuri
12
2012
Some limit theorems for simple point processes (a martingale approach). Zbl 0441.60045
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
12
1980
Hedging of American options under transaction costs. Zbl 1199.91177
De Vallière, D.; Denis, E.; Kabanov, Y.
12
2009
Necessary and sufficient conditions for absolute continuity of measures corresponding to point (counting) processes. Zbl 0416.60062
Kabanov, Yu.; Liptser, R.; Shiryaev, A. N.
11
1978
On equivalent martingale measures with bounded densities. Zbl 0980.60073
Kabanov, Yuri; Stricker, Christophe
11
2001
On the variation distance for probability measures defined on a filtered space. Zbl 0554.60006
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
10
1986
Hedging under transaction costs in currency markets: A discrete-time model. Zbl 1008.91046
Delbaen, Freddy; Kabanov, Yuri M.; Valkeila, Esko
10
2002
Essential supremum with respect to a random partial order. Zbl 1284.91111
Kabanov, Yuri; Lépinette, Emmanuel
9
2013
In the insurance business risky investments are dangerous: the case of negative risk sums. Zbl 1342.60105
Kabanov, Yuri; Pergamenshchikov, Serguei
9
2016
Absolute Stetigkeit und Singularität lokal abolut stetiger Wahrscheinlichkeitsverteilungen. I. Zbl 0402.60039
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
8
1978
The Dalang-Morton-Willinger theorem under delayed and restricted information. Zbl 1118.60033
Kabanov, Yuri; Stricker, Christophe
8
2006
A geometric approach to portfolio optimization in models with transaction costs. Zbl 1051.60044
Kabanov, Yuriy; Klüppelberg, Claudia
8
2004
No arbitrage of the first kind and local martingale numéraires. Zbl 1364.91161
Kabanov, Yuri; Kardaras, Constantinos; Song, Shiqi
8
2016
Essential supremum and essential maximum with respect to random preference relations. Zbl 1282.91081
Kabanov, Yuri; Lépinette, Emmanuel
7
2013
On a stochastic optimality of the feedback control in the LQG-problem. Zbl 1063.93052
Belkina, T. A.; Kabanov, Yu. M.; Presman, E. L.
7
2003
On convergence in variation of the distributions of multivariate point processes. Zbl 0532.60042
Kabanov, Yu. M.; Liptser, R. Sh.
7
1983
Weak and strong convergence of the distributions of counting processes. Zbl 0533.60055
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
7
1984
On the Pontryagin maximum principle for SDEs with a Poisson-type driving noise. Zbl 0942.93045
Kabanov, Yu. M.
7
1997
Louis Bachelier on the centenary of “Théorie de la spéculation”. Zbl 0989.91006
Courtault, Jean-Michel; Kabanov, Yuri; Bru, Bernard; Crépel, Pierre; Lebon, Isabelle
6
2000
On martingale selectors of cone-valued processes. Zbl 1151.91517
Kabanov, Yuri; Stricker, Christophe
5
2008
Absolute continuity and singularity of locally absolutely continuous probability distributions. II. Zbl 0448.60028
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
5
1980
In discrete time a local martingale is a martingale under an equivalent probability measure. Zbl 1164.60031
Kabanov, Yuri
5
2008
Remarks on the true no-arbitrage property. Zbl 1112.60308
Kabanov, Yuri; Stricker, Christophe
4
2005
The strong convergence of two-scale stochastic systems and singular perturbations of filtering equations. Zbl 0778.60001
Di Masi, G. B.; Kabanov, Yu. M.
4
1993
Weak and strong convergence of distributions of counting processes. Zbl 0516.60056
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
4
1983
Consumption-investment problem with transaction costs for Lévy-driven price processes. Zbl 1346.60101
De Vallière, Dimitri; Kabanov, Yuri; Lépinette, Emmanuel
4
2016
No-arbitrage criteria for financial markets with transaction costs and incomplete information. Zbl 1144.91017
De Vallière, Dimitry; Kabanov, Yuri; Stricker, Christophe
4
2007
Small transaction costs, absence of arbitrage and consistent price systems. Zbl 1261.91043
Grépat, Julien; Kabanov, Yuri
3
2012
Mean square error for the Leland-Lott hedging strategy. Zbl 1188.91217
Gamys, Moussa; Kabanov, Yuri
3
2009
On the law of one price. Zbl 1064.60084
Courtault, Jean-Michel; Delbaen, Freddy; Kabanov, Yuri; Stricker, Christophe
3
2004
A positive interest rate model with sticky barrier. Zbl 1142.91530
Kabanov, Yuri; Kijima, Masaaki; Rinaz, Sofiane
3
2007
Toward the theory of pricing of options of both European and American types. I: Discrete time. Zbl 0833.60064
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.
3
1994
Arbitrage theory. Zbl 0992.91050
Kabanov, Yu. M.
3
2001
Estimates of proximity in variation of probability measures. Zbl 0586.60035
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
3
1984
A generalized Ito formula for an extended stochastic integral with respect to a Poisson random measure. Zbl 0308.60032
Kabanov, Yu. M.
3
1974
A consumption-investment problem with production possibilities. Zbl 1251.60056
Kabanov, Yuri; Kijima, Masaaki
2
2006
The capacity of a channel of the Poisson type. Zbl 0421.94009
Kabanov, Yu. M.
2
1978
Absolute Stetigkeit und Singularität lokal absolut stetiger Wahrscheinlichkeitsverteilungen. II. Zbl 0427.60037
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
2
1979
A probabilistic modification of the von Neumann-Gale model. Zbl 0466.90015
Evstigneev, I. V.; Kabanov, Yu. M.
2
1980
A first order approximation for the convergence of distributions of the Cox processes with fast Markov switchings. Zbl 0864.60002
Di Masi, G. B.; Kabanov, Yu. M.
2
1995
On absolute continuity of probability measures for Markov-Itô processes. Zbl 0498.60043
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
2
1980
On control of two-scale stochastic systems with linear dynamics in the fast variables. Zbl 0901.93072
Kabanov, Yuri M.; Runggaldier, Wolfgang J.
2
1996
On convergence of attainability sets for controlled two-scale stochastic linear systems. Zbl 0888.93062
Kabanov, Yuri; Pergamenshchikov, Sergei
2
1997
Viscosity solutions of integro-differential equations for nonruin probabilities. Zbl 1415.91150
Belkina, T.; Kabanov, Yu.
2
2016
Zur Frage über die absolute Stetigkeit und die Singularität von Wahrscheinlichkeitsmaßen. Zbl 0375.60048
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
2
1977
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. Zbl 1430.91031
Kabanov, Yuri; Pergamenshchikov, Serguei
1
2020
“Predictable” criteria for absolute continuity and singularity of probability measures (the continuous time case). Zbl 0405.60043
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
1
1977
Über eine probabilistische Modifikation des von Neumann-Galeschen Modells. Zbl 0448.90009
Evstigneev, I. V.; Kabanov, Yu. M.
1
1980
On the representation of integral-valued random measures and local martingales by means of random measures with deterministic compensators. Zbl 0462.60054
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
1
1981
Asymptotic expansions for singularly perturbed stochastic differential equations. Zbl 0774.60054
Kabanov, Yu. M.; Pergamenshchikov, S. M.; Stoyanov, J. M.
1
1991
Optimal control of singularly perturbed stochastic linear systems. Zbl 0739.93080
Kabanov, Yu. M.; Pergamenshchikov, S. M.
1
1991
On the rate of convergence of distributions of counting processes to the distribution of a counting process with independent increments. Zbl 0504.60025
Kabanov, Yu. M.
1
1982
On the existence of a solution in a problem of controlling a counting process. Zbl 0536.49005
Kabanov, Yu. M.
1
1984
On sensitive probabilistic criteria in the linear regulator problem with the infinite horizon. Zbl 1075.93510
Di Masi, G. B.; Kabanov, Yu. M.
1
1998
Hedging in a model with transaction costs. Zbl 1113.91321
Kabanov, Yu. M.; Last, G.
1
2002
On the true submartingale property, d’après Schachermayer. Zbl 1036.60035
Kabanov, Yuri; Stricker, Christophe
1
2003
An estimate of closeness in variation of probability measures. Zbl 0585.60049
Kabanov, Yu. M.
1
1986
Singular perturbations of stochastic differential equations. Zbl 0715.60067
Kabanov, Yu. M.; Pergamenshchikov, S. M.
1
1990
On a probabilistic representation of solutions of the telegraph equation. Zbl 0758.60059
Kabanov, Yu. M.
1
1992
Representation of functionals of Wiener and Poisson processes in the form of stochastic integrals. Zbl 0316.60039
Kabanov, Ju. M.
1
1973
Integral representations of functionals of processes with independent increments. Zbl 0325.60070
Kabanov, Ju. M.
1
1974
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. Zbl 1430.91031
Kabanov, Yuri; Pergamenshchikov, Serguei
1
2020
In the insurance business risky investments are dangerous: the case of negative risk sums. Zbl 1342.60105
Kabanov, Yuri; Pergamenshchikov, Serguei
9
2016
No arbitrage of the first kind and local martingale numéraires. Zbl 1364.91161
Kabanov, Yuri; Kardaras, Constantinos; Song, Shiqi
8
2016
Consumption-investment problem with transaction costs for Lévy-driven price processes. Zbl 1346.60101
De Vallière, Dimitri; Kabanov, Yuri; Lépinette, Emmanuel
4
2016
Viscosity solutions of integro-differential equations for nonruin probabilities. Zbl 1415.91150
Belkina, T.; Kabanov, Yu.
2
2016
Essential supremum with respect to a random partial order. Zbl 1284.91111
Kabanov, Yuri; Lépinette, Emmanuel
9
2013
Essential supremum and essential maximum with respect to random preference relations. Zbl 1282.91081
Kabanov, Yuri; Lépinette, Emmanuel
7
2013
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs. Zbl 1262.60038
Denis, Emmanuel; Kabanov, Yuri
12
2012
Small transaction costs, absence of arbitrage and consistent price systems. Zbl 1261.91043
Grépat, Julien; Kabanov, Yuri
3
2012
Mean square error for the Leland-Lott hedging strategy: convex pay-offs. Zbl 1233.91262
Denis, Emmanuel; Kabanov, Yuri
13
2010
Markets with transaction costs. Mathematical theory. Zbl 1186.91006
Kabanov, Yuri M.; Safarian, Mher
117
2009
Hedging of American options under transaction costs. Zbl 1199.91177
De Vallière, D.; Denis, E.; Kabanov, Y.
12
2009
Mean square error for the Leland-Lott hedging strategy. Zbl 1188.91217
Gamys, Moussa; Kabanov, Yuri
3
2009
On martingale selectors of cone-valued processes. Zbl 1151.91517
Kabanov, Yuri; Stricker, Christophe
5
2008
In discrete time a local martingale is a martingale under an equivalent probability measure. Zbl 1164.60031
Kabanov, Yuri
5
2008
No-arbitrage criteria for financial markets with transaction costs and incomplete information. Zbl 1144.91017
De Vallière, Dimitry; Kabanov, Yuri; Stricker, Christophe
4
2007
A positive interest rate model with sticky barrier. Zbl 1142.91530
Kabanov, Yuri; Kijima, Masaaki; Rinaz, Sofiane
3
2007
The Dalang-Morton-Willinger theorem under delayed and restricted information. Zbl 1118.60033
Kabanov, Yuri; Stricker, Christophe
8
2006
A consumption-investment problem with production possibilities. Zbl 1251.60056
Kabanov, Yuri; Kijima, Masaaki
2
2006
Remarks on the true no-arbitrage property. Zbl 1112.60308
Kabanov, Yuri; Stricker, Christophe
4
2005
A geometric approach to portfolio optimization in models with transaction costs. Zbl 1051.60044
Kabanov, Yuriy; Klüppelberg, Claudia
8
2004
On the law of one price. Zbl 1064.60084
Courtault, Jean-Michel; Delbaen, Freddy; Kabanov, Yuri; Stricker, Christophe
3
2004
Two-scale stochastic systems. Asymptotic analysis and control. Zbl 1033.60001
Kabanov, Yu.; Pergamenshchikov, S.
39
2003
On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property. Zbl 1064.60085
Kabanov, Yuri; Rásonyi, Miklós; Stricker, Christophe
27
2003
On a stochastic optimality of the feedback control in the LQG-problem. Zbl 1063.93052
Belkina, T. A.; Kabanov, Yu. M.; Presman, E. L.
7
2003
On the true submartingale property, d’après Schachermayer. Zbl 1036.60035
Kabanov, Yuri; Stricker, Christophe
1
2003
In the insurance business risky investments are dangerous. Zbl 1002.91037
Frolova, Anna; Kabanov, Yuri; Pergamenshchikov, Serguei
54
2002
On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Zbl 1073.91034
Kabanov, Yuri M.; Stricker, Christophe
45
2002
Non-arbitrage criteria for financial markets with efficient friction. Zbl 1026.60051
Kabanov, Yuri; Rásonyi, Miklós; Stricker, Christophe
38
2002
Hedging under transaction costs in currency markets: A continuous-time model. Zbl 1008.91049
Kabanov, Yuri M.; Last, Günter
22
2002
Hedging of contingent claims under transaction costs. Zbl 1016.91043
Kabanov, Yuri M.; Stricker, Christophe
13
2002
Hedging under transaction costs in currency markets: A discrete-time model. Zbl 1008.91046
Delbaen, Freddy; Kabanov, Yuri M.; Valkeila, Esko
10
2002
Hedging in a model with transaction costs. Zbl 1113.91321
Kabanov, Yu. M.; Last, G.
1
2002
The Harrison-Pliska arbitrage pricing theorem under transaction costs. Zbl 0986.91012
Kabanov, Yu. M.; Stricker, Ch.
41
2001
A teachers’ note on no-arbitrage criteria. Zbl 0982.60032
Kabanov, Yuri; Stricker, Christophe
31
2001
On equivalent martingale measures with bounded densities. Zbl 0980.60073
Kabanov, Yuri; Stricker, Christophe
11
2001
Arbitrage theory. Zbl 0992.91050
Kabanov, Yu. M.
3
2001
Louis Bachelier on the centenary of “Théorie de la spéculation”. Zbl 0989.91006
Courtault, Jean-Michel; Kabanov, Yuri; Bru, Bernard; Crépel, Pierre; Lebon, Isabelle
6
2000
Hedging and liquidation under transaction costs in currency markets. Zbl 0926.60036
Kabanov, Yu. M.
95
1999
Asymptotic arbitrage in large financial markets. Zbl 0894.90020
Kabanov, Yu. M.; Kramkov, D. O.
45
1998
Optional decomposition and Lagrange multipliers. Zbl 0894.90016
Föllmer, H.; Kabanov, Yu. M.
35
1998
On sensitive probabilistic criteria in the linear regulator problem with the infinite horizon. Zbl 1075.93510
Di Masi, G. B.; Kabanov, Yu. M.
1
1998
Bond market structure in the presence of marked point processes. Zbl 0884.90014
Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang
97
1997
Towards a general theory of bond markets. Zbl 0889.90019
Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang
69
1997
On Leland’s strategy of option pricing with transactions costs. Zbl 0911.90027
Kabanov, Yuri M.; Safarian, Mher M.
32
1997
On the FTAP of Kreps-Delbaen-Schachermayer. Zbl 0926.91017
Kabanov, Yu. M.
28
1997
On the Pontryagin maximum principle for SDEs with a Poisson-type driving noise. Zbl 0942.93045
Kabanov, Yu. M.
7
1997
On convergence of attainability sets for controlled two-scale stochastic linear systems. Zbl 0888.93062
Kabanov, Yuri; Pergamenshchikov, Sergei
2
1997
On control of two-scale stochastic systems with linear dynamics in the fast variables. Zbl 0901.93072
Kabanov, Yuri M.; Runggaldier, Wolfgang J.
2
1996
A first order approximation for the convergence of distributions of the Cox processes with fast Markov switchings. Zbl 0864.60002
Di Masi, G. B.; Kabanov, Yu. M.
2
1995
Mean-variance hedging of options on stocks with Markov volatilities. Zbl 0836.60075
Di Masi, G. B.; Kabanov, Yu. M.; Runggaldier, W. J.
40
1994
Large financial markets: Asymptotic arbitrage and contiguity. Zbl 0834.90018
Kabanov, Yu. M.; Kramkov, D. O.
34
1994
No-arbitrage and equivalent martingale measures: An elementary proof of the Harrison-Pliska theorem. Zbl 0834.60045
Kabanov, Yu. M.; Kramkov, D. O.
13
1994
Toward the theory of pricing of options of both European and American types. II: Continuous time. Zbl 0833.60065
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.
13
1994
Toward the theory of pricing of options of both European and American types. I: Discrete time. Zbl 0833.60064
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.
3
1994
The strong convergence of two-scale stochastic systems and singular perturbations of filtering equations. Zbl 0778.60001
Di Masi, G. B.; Kabanov, Yu. M.
4
1993
On a probabilistic representation of solutions of the telegraph equation. Zbl 0758.60059
Kabanov, Yu. M.
1
1992
Asymptotic expansions for singularly perturbed stochastic differential equations. Zbl 0774.60054
Kabanov, Yu. M.; Pergamenshchikov, S. M.; Stoyanov, J. M.
1
1991
Optimal control of singularly perturbed stochastic linear systems. Zbl 0739.93080
Kabanov, Yu. M.; Pergamenshchikov, S. M.
1
1991
Singular perturbations of stochastic differential equations. Zbl 0715.60067
Kabanov, Yu. M.; Pergamenshchikov, S. M.
1
1990
On the variation distance for probability measures defined on a filtered space. Zbl 0554.60006
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
10
1986
An estimate of closeness in variation of probability measures. Zbl 0585.60049
Kabanov, Yu. M.
1
1986
Weak and strong convergence of the distributions of counting processes. Zbl 0533.60055
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
7
1984
Estimates of proximity in variation of probability measures. Zbl 0586.60035
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
3
1984
On the existence of a solution in a problem of controlling a counting process. Zbl 0536.49005
Kabanov, Yu. M.
1
1984
On convergence in variation of the distributions of multivariate point processes. Zbl 0532.60042
Kabanov, Yu. M.; Liptser, R. Sh.
7
1983
Weak and strong convergence of distributions of counting processes. Zbl 0516.60056
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
4
1983
On the rate of convergence of distributions of counting processes to the distribution of a counting process with independent increments. Zbl 0504.60025
Kabanov, Yu. M.
1
1982
On the representation of integral-valued random measures and local martingales by means of random measures with deterministic compensators. Zbl 0462.60054
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
1
1981
Some limit theorems for simple point processes (a martingale approach). Zbl 0441.60045
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
12
1980
Absolute continuity and singularity of locally absolutely continuous probability distributions. II. Zbl 0448.60028
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
5
1980
A probabilistic modification of the von Neumann-Gale model. Zbl 0466.90015
Evstigneev, I. V.; Kabanov, Yu. M.
2
1980
On absolute continuity of probability measures for Markov-Itô processes. Zbl 0498.60043
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
2
1980
Über eine probabilistische Modifikation des von Neumann-Galeschen Modells. Zbl 0448.90009
Evstigneev, I. V.; Kabanov, Yu. M.
1
1980
Absolute continuity and singularity of locally absolutely continuous probability distributions. I. Zbl 0426.60039
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
15
1979
Absolute Stetigkeit und Singularität lokal absolut stetiger Wahrscheinlichkeitsverteilungen. II. Zbl 0427.60037
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
2
1979
Necessary and sufficient conditions for absolute continuity of measures corresponding to point (counting) processes. Zbl 0416.60062
Kabanov, Yu.; Liptser, R.; Shiryaev, A. N.
11
1978
Absolute Stetigkeit und Singularität lokal abolut stetiger Wahrscheinlichkeitsverteilungen. I. Zbl 0402.60039
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
8
1978
The capacity of a channel of the Poisson type. Zbl 0421.94009
Kabanov, Yu. M.
2
1978
On the question of absolute continuity and singularity of probability measures. Zbl 0398.60044
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
30
1977
Zur Frage über die absolute Stetigkeit und die Singularität von Wahrscheinlichkeitsmaßen. Zbl 0375.60048
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
2
1977
“Predictable” criteria for absolute continuity and singularity of probability measures (the continuous time case). Zbl 0405.60043
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
1
1977
On extended stochastic integrals. Zbl 0355.60047
Kabanov, Ju. M.
17
1975
A generalized Ito formula for an extended stochastic integral with respect to a Poisson random measure. Zbl 0308.60032
Kabanov, Yu. M.
3
1974
Integral representations of functionals of processes with independent increments. Zbl 0325.60070
Kabanov, Ju. M.
1
1974
Representation of functionals of Wiener and Poisson processes in the form of stochastic integrals. Zbl 0316.60039
Kabanov, Ju. M.
1
1973
all top 5

Cited by 936 Authors

24 Lépinette, Emmanuel
23 Rásonyi, Miklós
22 Kabanov, Yuriĭ Mikhaĭlovich
15 Schachermayer, Walter
14 Bouchard, Bruno
13 Rudloff, Birgit
10 Choulli, Tahir
10 Guasoni, Paolo
10 Klein, Irene
10 Pennanen, Teemu
9 Carassus, Laurence
9 Evstigneev, Igor V.
9 Molchanov, Ilya S.
9 Pergamenshchikov, Sergeĭ Markovich
9 Platen, Eckhard
8 Kardaras, Constantinos
8 Yin, Gang George
7 Belkina, T. A.
7 Hamel, Andreas H.
7 Nikitopoulos Sklibosios, Christina
7 Palamarchuk, E. S.
7 Zabczyk, Jerzy
6 Ceci, Claudia
6 Chiarella, Carl
6 Fontana, Claudio
6 Grandits, Peter
6 Kohlmann, Michael
6 Kuhn, Christoph
6 Muhle-Karbe, Johannes
6 Øksendal, Bernt Karsten
6 Peccati, Giovanni
6 Perkkiö, Ari-Pekka
6 Roux, Alet
6 Runggaldier, Wolfgang J.
6 Schweizer, Martin
6 Soner, Halil Mete
6 Stricker, Christophe
6 Teichmann, Josef
6 Touzi, Nizar
6 Xiong, Dewen
6 Zastawniak, Tomasz
5 Bank, Peter
5 Barski, Michał
5 Campi, Luciano
5 Chau, Huy N.
5 Criens, David
5 Dolinsky, Yan
5 Feinstein, Zachary
5 Ferrari, Giorgio
5 Filipović, Damir
5 Jeanblanc, Monique
5 Konyukhova, Nadja B.
5 Last, Günter
5 Löhne, Andreas
5 Melnikov, Aleksander Viktorovich
5 Perez-Ostafe, Lavinia
5 Sass, Jörn
5 Tang, Qihe
5 Tappe, Stefan
5 Žitković, Gordan
4 Bayraktar, Erhan
4 Berkaoui, Abdelkarem
4 Biagini, Sara
4 Chang, Mouhsiung
4 Chen, Yanhong
4 Cordero, Fernando
4 Cuchiero, Christa
4 De Donno, Marzia
4 Deng, Jun
4 Denis, Emmanuel
4 Gaitsgory, Vladimir A.
4 Hu, Yijun
4 Jacka, Saul D.
4 Jouini, Elyès
4 Neufeld, Ariel David
4 Nutz, Marcel
4 Proske, Frank Norbert
4 Ratanov, Nikita
4 Riedel, Frank
4 Song, Shiqi
4 Taflin, Erik
4 Taksar, Michael I.
4 Yang, Hailiang
3 Aksamit, Anna
3 Bardi, Martino
3 Becherer, Dirk
3 Belak, Christoph
3 Bogachev, Vladimir Igorevich
3 Bruti-Liberati, Nicola
3 Dokuchaev, Nikolai G.
3 Dyshaev, Mikhaĭl Mikhaĭlovich
3 Eberlein, Ernst W.
3 Föllmer, Hans
3 Frittelli, Marco
3 Fukasawa, Masaaki
3 Gaier, Johanna
3 Gerardi, Anna
3 Grigelionis, Bronius I.
3 Högele, Michael Anton
3 Ivanov, Roman V.
...and 836 more Authors
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Cited in 188 Serials

77 Finance and Stochastics
49 Stochastic Processes and their Applications
47 The Annals of Applied Probability
34 Mathematical Finance
33 International Journal of Theoretical and Applied Finance
27 Mathematics and Financial Economics
26 Insurance Mathematics & Economics
21 Applied Mathematical Finance
21 Quantitative Finance
19 Journal of Mathematical Economics
18 Stochastic Analysis and Applications
17 Theory of Probability and its Applications
14 Stochastics
11 Applied Mathematics and Optimization
10 Journal of Mathematical Analysis and Applications
10 SIAM Journal on Control and Optimization
10 Statistics & Probability Letters
10 Decisions in Economics and Finance
10 Annals of Finance
9 Journal of Applied Probability
9 Probability Theory and Related Fields
9 Asia-Pacific Financial Markets
8 Bernoulli
8 Mathematical Methods of Operations Research
8 SIAM Journal on Financial Mathematics
7 Advances in Applied Probability
7 Lithuanian Mathematical Journal
7 Mathematical Notes
7 Journal of Optimization Theory and Applications
7 Acta Applicandae Mathematicae
6 The Annals of Probability
6 Journal of Computational and Applied Mathematics
6 Journal of Mathematical Sciences (New York)
6 Scandinavian Actuarial Journal
5 Stochastics
5 Automation and Remote Control
5 North American Actuarial Journal
4 Applied Mathematics and Computation
4 Journal of Differential Equations
4 Journal of Functional Analysis
4 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
4 Acta Mathematicae Applicatae Sinica. English Series
4 Journal of Theoretical Probability
4 Journal of Systems Science and Complexity
3 Journal of Statistical Physics
3 Physica A
3 Chaos, Solitons and Fractals
3 Automatica
3 Mathematics of Operations Research
3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 Journal of Economic Dynamics & Control
3 Journal of Applied Mathematics and Stochastic Analysis
3 Annals of Operations Research
3 Journal of Global Optimization
3 Computational Mathematics and Mathematical Physics
3 European Journal of Operational Research
3 Mathematical Programming. Series A. Series B
3 Cybernetics and Systems Analysis
3 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Statistical Inference for Stochastic Processes
3 Methodology and Computing in Applied Probability
3 Review of Derivatives Research
3 Frontiers of Mathematics in China
3 Set-Valued and Variational Analysis
3 International Journal of Stochastic Analysis
2 Computers & Mathematics with Applications
2 Communications in Mathematical Physics
2 Zhurnal Vychislitel’noĭ Matematiki i Matematicheskoĭ Fiziki
2 Annals of the Institute of Statistical Mathematics
2 Journal of Soviet Mathematics
2 Journal of Statistical Planning and Inference
2 Optimal Control Applications & Methods
2 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique
2 Stochastics and Stochastics Reports
2 Journal of Dynamics and Differential Equations
2 Potential Analysis
2 NoDEA. Nonlinear Differential Equations and Applications
2 Electronic Communications in Probability
2 Infinite Dimensional Analysis, Quantum Probability and Related Topics
2 Communications in Nonlinear Science and Numerical Simulation
2 Applied Stochastic Models in Business and Industry
2 Stochastics and Dynamics
2 ASTIN Bulletin
2 Probability Surveys
2 Statistics & Risk Modeling
2 Modern Stochastics. Theory and Applications
1 Discrete Applied Mathematics
1 International Journal of Control
1 International Journal of Theoretical Physics
1 Mathematical Proceedings of the Cambridge Philosophical Society
1 Problems of Information Transmission
1 Rocky Mountain Journal of Mathematics
1 Studia Mathematica
1 Advances in Mathematics
1 The Annals of Statistics
1 Calcolo
1 Czechoslovak Mathematical Journal
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of Economic Theory
...and 88 more Serials
all top 5

Cited in 43 Fields

626 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
529 Probability theory and stochastic processes (60-XX)
119 Systems theory; control (93-XX)
63 Calculus of variations and optimal control; optimization (49-XX)
56 Statistics (62-XX)
49 Operations research, mathematical programming (90-XX)
43 Partial differential equations (35-XX)
26 Numerical analysis (65-XX)
24 Functional analysis (46-XX)
21 Ordinary differential equations (34-XX)
11 Integral equations (45-XX)
10 Dynamical systems and ergodic theory (37-XX)
8 Real functions (26-XX)
8 Measure and integration (28-XX)
7 Convex and discrete geometry (52-XX)
7 Quantum theory (81-XX)
5 Order, lattices, ordered algebraic structures (06-XX)
5 Global analysis, analysis on manifolds (58-XX)
5 Information and communication theory, circuits (94-XX)
4 Computer science (68-XX)
4 Biology and other natural sciences (92-XX)
3 General and overarching topics; collections (00-XX)
3 Topological groups, Lie groups (22-XX)
3 Operator theory (47-XX)
3 General topology (54-XX)
3 Statistical mechanics, structure of matter (82-XX)
2 Approximations and expansions (41-XX)
2 Differential geometry (53-XX)
2 Fluid mechanics (76-XX)
1 Mathematical logic and foundations (03-XX)
1 Combinatorics (05-XX)
1 Commutative algebra (13-XX)
1 Group theory and generalizations (20-XX)
1 Potential theory (31-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Special functions (33-XX)
1 Difference and functional equations (39-XX)
1 Sequences, series, summability (40-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1 Integral transforms, operational calculus (44-XX)
1 Mechanics of particles and systems (70-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Geophysics (86-XX)

Citations by Year