Edit Profile (opens in new tab) Kabanov, Yuriĭ Mikhaĭlovich Co-Author Distance Author ID: kabanov.yuri-m Published as: Kabanov, Yu. M.; Kabanov, Yuri; Kabanov, Yuri M.; Kabanov, Ju. M.; Kabanov, Yu.; Kabanov, Yuriy; Kabanov, Y. more...less Homepage: http://ykabanov.perso.math.cnrs.fr/page_youri_model16.htm External Links: MGP · Math-Net.Ru Documents Indexed: 117 Publications since 1973, including 2 Books and 5 Additional arXiv Preprints 6 Contributions as Editor Reviewing Activity: 85 Reviews Biographic References: 1 Publication Co-Authors: 54 Co-Authors with 103 Joint Publications 1,247 Co-Co-Authors all top 5 Co-Authors 20 single-authored 23 Shiryaev, Al’bert Nikolaevich 19 Liptser, Robert 16 Pergamenshchikov, Sergeĭ Markovich 13 Stricker, Christophe 5 Di Masi, Giovanni B. 5 Kramkov, Dmitriĭ Olegovich 4 Evstigneev, Igor V. 4 Lépinette, Emmanuel 4 Runggaldier, Wolfgang J. 3 Denis, Emmanuel 2 Antipov, Viktor 2 Belkina, Tat’yana Andreevna 2 Björk, Tomas 2 Courtault, Jean-Michel 2 Delbaen, Freddy 2 Grépat, Julien 2 Kardaras, Constantinos 2 Kijima, Masaaki 2 Last, Günter 2 Melnikov, Aleksander Viktorovich 2 Rásonyi, Miklós 2 Safarian, Mher M. 2 Song, Shiqi 2 Stoyanov, Jordan M. 1 Arsenishvili, G. L. 1 Bru, Bernard 1 Crepel, Pierre 1 De Vallière, Dimitri 1 De Vallière, Dimitry 1 Eberlein, Ernst W. 1 El Bitar, Kh. 1 Ellanskaya, Anastasiya 1 Föllmer, Hans 1 Frolova, Anna 1 Gamys, Moussa 1 Klüppelberg, Claudia 1 Krylov, Nicolaĭ Vladimirovich 1 Lebon, Isabelle 1 Mishura, Yuliya Stepanivna 1 Mokbel, R. 1 Muravlev, Alexey A. 1 Novikov, Aleksandr Aleksandrovich 1 Poincaré, Henri 1 Presman, Ernst L. 1 Promyslov, Platon 1 Pukhlyakov, Nikita 1 Rinaz, Sofiane 1 Rozovskii, Boris L. 1 Rutkowski, Marek 1 Sakhno, Lyudmyla Mykhaĭlivna 1 Schmidt, Thorsten 1 Sidorenko, Arthur 1 Valkeila, Esko 1 Zariphopoulou, Thaleia 1 Zhitlukhin, Mikhail V. all top 5 Serials 23 Finance and Stochastics 12 Theory of Probability and its Applications 10 Teoriya Veroyatnosteĭ i eë Primeneniya 6 Mathematics of the USSR, Sbornik 5 Mathematical Finance 4 Matematicheskiĭ Sbornik. Novaya Seriya 4 Soviet Mathematics. Doklady 3 Russian Mathematical Surveys 3 Uspekhi Matematicheskikh Nauk [N. S.] 3 Journal of Mathematical Economics 2 Stochastics and Stochastics Reports 1 Stochastics 1 Journal of Applied Probability 1 SIAM Journal on Control and Optimization 1 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 1 Probability Theory and Related Fields 1 MCSS. Mathematics of Control, Signals, and Systems 1 Stochastic Processes and their Applications 1 Matematicheskiĭ Sbornik 1 Soobshcheniya Akademii Nauk Gruzii 1 Journal of Mathematical Systems, Estimation, and Control 1 Obozrenie Prikladnoĭ i Promyshlennoĭ Matematiki 1 Extremes 1 Quantitative Finance 1 Applications of Mathematics 1 Springer Finance all top 5 Fields 91 Probability theory and stochastic processes (60-XX) 60 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 12 Systems theory; control (93-XX) 6 General and overarching topics; collections (00-XX) 5 Calculus of variations and optimal control; optimization (49-XX) 3 Order, lattices, ordered algebraic structures (06-XX) 3 Measure and integration (28-XX) 3 Statistics (62-XX) 2 Ordinary differential equations (34-XX) 2 Operations research, mathematical programming (90-XX) 2 Information and communication theory, circuits (94-XX) 1 History and biography (01-XX) 1 Partial differential equations (35-XX) 1 Approximations and expansions (41-XX) 1 Integral equations (45-XX) 1 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 93 Publications have been cited 1,492 times in 991 Documents Cited by ▼ Year ▼ Markets with transaction costs. Mathematical theory. Zbl 1186.91006 Kabanov, Yuri M.; Safarian, Mher 142 2009 Bond market structure in the presence of marked point processes. Zbl 0884.90014 Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang 109 1997 Hedging and liquidation under transaction costs in currency markets. Zbl 0926.60036 Kabanov, Yu. M. 104 1999 Towards a general theory of bond markets. Zbl 0889.90019 Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang 78 1997 In the insurance business risky investments are dangerous. Zbl 1002.91037 Frolova, Anna; Kabanov, Yuri; Pergamenshchikov, Serguei 64 2002 On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Zbl 1073.91034 Kabanov, Yuri M.; Stricker, Christophe 50 2002 Two-scale stochastic systems. Asymptotic analysis and control. Zbl 1033.60001 Kabanov, Yu.; Pergamenshchikov, S. 49 2003 Mean-variance hedging of options on stocks with Markov volatilities. Zbl 0836.60075 Di Masi, G. B.; Kabanov, Yu. M.; Runggaldier, W. J. 48 1994 Asymptotic arbitrage in large financial markets. Zbl 0894.90020 Kabanov, Yu. M.; Kramkov, D. O. 46 1998 The Harrison-Pliska arbitrage pricing theorem under transaction costs. Zbl 0986.91012 Kabanov, Yu. M.; Stricker, Ch. 44 2001 Optional decomposition and Lagrange multipliers. Zbl 0894.90016 Föllmer, H.; Kabanov, Yu. M. 43 1998 On Leland’s strategy of option pricing with transactions costs. Zbl 0911.90027 Kabanov, Yuri M.; Safarian, Mher M. 40 1997 Large financial markets: Asymptotic arbitrage and contiguity. Zbl 0834.90018 Kabanov, Yu. M.; Kramkov, D. O. 39 1994 A teachers’ note on no-arbitrage criteria. Zbl 0982.60032 Kabanov, Yuri; Stricker, Christophe 39 2001 Non-arbitrage criteria for financial markets with efficient friction. Zbl 1026.60051 Kabanov, Yuri; Rásonyi, Miklós; Stricker, Christophe 39 2002 On the FTAP of Kreps-Delbaen-Schachermayer. Zbl 0926.91017 Kabanov, Yu. M. 38 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 29 2003 On the question of absolute continuity and singularity of probability measures. Zbl 0398.60044 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 28 1977 Hedging under transaction costs in currency markets: A continuous-time model. Zbl 1008.91049 Kabanov, Yuri M.; Last, Günter 26 2002 No arbitrage of the first kind and local martingale numéraires. Zbl 1364.91161 Kabanov, Yuri; Kardaras, Constantinos; Song, Shiqi 20 2016 On extended stochastic integrals. Zbl 0355.60047 Kabanov, Ju. M. 19 1975 Absolute continuity and singularity of locally absolutely continuous probability distributions. I. Zbl 0426.60039 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 17 1979 Hedging of contingent claims under transaction costs. Zbl 1016.91043 Kabanov, Yuri M.; Stricker, Christophe 16 2002 No-arbitrage and equivalent martingale measures: An elementary proof of the Harrison-Pliska theorem. Zbl 0834.60045 Kabanov, Yu. M.; Kramkov, D. O. 15 1994 Mean square error for the Leland-Lott hedging strategy: convex pay-offs. Zbl 1233.91262 Denis, Emmanuel; Kabanov, Yuri 15 2010 In the insurance business risky investments are dangerous: the case of negative risk sums. Zbl 1342.60105 Kabanov, Yuri; Pergamenshchikov, Serguei 15 2016 On the variation distance for probability measures defined on a filtered space. Zbl 0554.60006 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 14 1986 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. 14 1994 Hedging under transaction costs in currency markets: A discrete-time model. Zbl 1008.91046 Delbaen, Freddy; Kabanov, Yuri M.; Valkeila, Esko 14 2002 Hedging of American options under transaction costs. Zbl 1199.91177 De Vallière, D.; Denis, E.; Kabanov, Y. 13 2009 Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs. Zbl 1262.60038 Denis, Emmanuel; Kabanov, Yuri 13 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 On equivalent martingale measures with bounded densities. Zbl 0980.60073 Kabanov, Yuri; Stricker, Christophe 11 2001 The Dalang-Morton-Willinger theorem under delayed and restricted information. Zbl 1118.60033 Kabanov, Yuri; Stricker, Christophe 10 2006 Absolute Stetigkeit und Singularität lokal abolut stetiger Wahrscheinlichkeitsverteilungen. I. Zbl 0402.60039 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 10 1978 Necessary and sufficient conditions for absolute continuity of measures corresponding to point (counting) processes. Zbl 0416.60062 Kabanov, Yu.; Liptser, R.; Shiryaev, A. N. 10 1978 On a stochastic optimality of the feedback control in the LQG-problem. Zbl 1063.93052 Belkina, T. A.; Kabanov, Yu. M.; Presman, E. L. 10 2003 Essential supremum with respect to a random partial order. Zbl 1284.91111 Kabanov, Yuri; Lépinette, Emmanuel 10 2013 Louis Bachelier on the centenary of “Théorie de la spéculation”. Zbl 0989.91006 Courtault, Jean-Michel; Kabanov, Yuri; Bru, Bernard; Crépel, Pierre; Lebon, Isabelle 8 2000 A geometric approach to portfolio optimization in models with transaction costs. Zbl 1051.60044 Kabanov, Yuriy; Klüppelberg, Claudia 8 2004 Consumption-investment problem with transaction costs for Lévy-driven price processes. Zbl 1346.60101 De Vallière, Dimitri; Kabanov, Yuri; Lépinette, Emmanuel 8 2016 Essential supremum and essential maximum with respect to random preference relations. Zbl 1282.91081 Kabanov, Yuri; Lépinette, Emmanuel 8 2013 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 Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. Zbl 1430.91031 Kabanov, Yuri; Pergamenshchikov, Serguei 7 2020 A positive interest rate model with sticky barrier. Zbl 1142.91530 Kabanov, Yuri; Kijima, Masaaki; Rinaz, Sofiane 6 2007 In discrete time a local martingale is a martingale under an equivalent probability measure. Zbl 1164.60031 Kabanov, Yuri 6 2008 Absolute continuity and singularity of locally absolutely continuous probability distributions. II. Zbl 0448.60028 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 6 1980 No-arbitrage criteria for financial markets with transaction costs and incomplete information. Zbl 1144.91017 De Vallière, Dimitry; Kabanov, Yuri; Stricker, Christophe 6 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. 5 1994 On martingale selectors of cone-valued processes. Zbl 1151.91517 Kabanov, Yuri; Stricker, Christophe 5 2008 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 Remarks on the true no-arbitrage property. Zbl 1112.60308 Kabanov, Yuri; Stricker, Christophe 4 2005 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. 4 1981 Small transaction costs, absence of arbitrage and consistent price systems. Zbl 1261.91043 Grépat, Julien; Kabanov, Yuri 4 2012 Mean square error for the Leland-Lott hedging strategy. Zbl 1188.91217 Gamys, Moussa; Kabanov, Yuri 3 2009 Arbitrage theory. Zbl 0992.91050 Kabanov, Yu. M. 3 2001 A generalized Ito formula for an extended stochastic integral with respect to a Poisson random measure. Zbl 0308.60032 Kabanov, Yu. M. 3 1974 Estimates of proximity in variation of probability measures. Zbl 0586.60035 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 3 1984 On the law of one price. Zbl 1064.60084 Courtault, Jean-Michel; Delbaen, Freddy; Kabanov, Yuri; Stricker, Christophe 3 2004 On convergence of attainability sets for controlled two-scale stochastic linear systems. Zbl 0888.93062 Kabanov, Yuri; Pergamenshchikov, Sergei 3 1997 The capacity of a channel of the Poisson type. Zbl 0421.94009 Kabanov, Yu. M. 3 1978 Viscosity solutions of integro-differential equations for nonruin probabilities. Zbl 1415.91150 Belkina, T.; Kabanov, Yu. 3 2016 Ruin probabilities with investments: smoothness, integro-differential and ordinary differential equations, asymptotic behavior. (Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior.) Zbl 1489.91222 Kabanov, Yuri; Pukhlyakov, Nikita 3 2022 On absolute continuity of probability measures for Markov-Itô processes. Zbl 0498.60043 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 2 1980 Representation of functionals of Wiener and Poisson processes in the form of stochastic integrals. Zbl 0316.60039 Kabanov, Ju. M. 2 1973 A consumption-investment problem with production possibilities. Zbl 1251.60056 Kabanov, Yuri; Kijima, Masaaki 2 2006 Criteria of absolute continuity of measures corresponding to multivariate point processes. Zbl 0349.60055 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 2 1976 Optimal control of singularly perturbed stochastic linear systems. Zbl 0739.93080 Kabanov, Yu. M.; Pergamenshchikov, S. M. 2 1991 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 control of two-scale stochastic systems with linear dynamics in the fast variables. Zbl 0901.93072 Kabanov, Yuri M.; Runggaldier, Wolfgang J. 2 1996 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 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 Ruin probabilities for a Sparre Andersen model with investments. Zbl 1480.60117 Eberlein, Ernst; Kabanov, Yuri; Schmidt, Thorsten 2 2022 Contiguity of distributions of multivariate point processes. Zbl 0634.60044 Kabanov, Yu. M. 1 1988 Asymptotic expansions for singularly perturbed stochastic differential equations. Zbl 0774.60054 Kabanov, Yu. M.; Pergamenshchikov, S. M.; Stoyanov, J. 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 Integral representations of functionals of processes with independent increments. Zbl 0325.60070 Kabanov, Ju. M. 1 1974 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 On optimal control of singularly perturbed stochastic differential equations. Zbl 0748.93080 Kabanov, Yu. M.; Pergamenshchikov, S. M. 1 1991 “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 ruin probabilities with risky investments in a stock with stochastic volatility. Zbl 1493.60072 Ellanskaya, Anastasiya; Kabanov, Yuri 1 2021 On ruin probabilities with investments in a risky asset with a regime-switching price. Zbl 1498.91361 Kabanov, Yuri; Pergamenshchikov, Sergey 1 2022 Ruin probabilities with investments: smoothness, integro-differential and ordinary differential equations, asymptotic behavior. (Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior.) Zbl 1489.91222 Kabanov, Yuri; Pukhlyakov, Nikita 3 2022 Ruin probabilities for a Sparre Andersen model with investments. Zbl 1480.60117 Eberlein, Ernst; Kabanov, Yuri; Schmidt, Thorsten 2 2022 On ruin probabilities with investments in a risky asset with a regime-switching price. Zbl 1498.91361 Kabanov, Yuri; Pergamenshchikov, Sergey 1 2022 On ruin probabilities with risky investments in a stock with stochastic volatility. Zbl 1493.60072 Ellanskaya, Anastasiya; Kabanov, Yuri 1 2021 Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. Zbl 1430.91031 Kabanov, Yuri; Pergamenshchikov, Serguei 7 2020 No arbitrage of the first kind and local martingale numéraires. Zbl 1364.91161 Kabanov, Yuri; Kardaras, Constantinos; Song, Shiqi 20 2016 In the insurance business risky investments are dangerous: the case of negative risk sums. Zbl 1342.60105 Kabanov, Yuri; Pergamenshchikov, Serguei 15 2016 Consumption-investment problem with transaction costs for Lévy-driven price processes. Zbl 1346.60101 De Vallière, Dimitri; Kabanov, Yuri; Lépinette, Emmanuel 8 2016 Viscosity solutions of integro-differential equations for nonruin probabilities. Zbl 1415.91150 Belkina, T.; Kabanov, Yu. 3 2016 Essential supremum with respect to a random partial order. Zbl 1284.91111 Kabanov, Yuri; Lépinette, Emmanuel 10 2013 Essential supremum and essential maximum with respect to random preference relations. Zbl 1282.91081 Kabanov, Yuri; Lépinette, Emmanuel 8 2013 Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs. Zbl 1262.60038 Denis, Emmanuel; Kabanov, Yuri 13 2012 Small transaction costs, absence of arbitrage and consistent price systems. Zbl 1261.91043 Grépat, Julien; Kabanov, Yuri 4 2012 Mean square error for the Leland-Lott hedging strategy: convex pay-offs. Zbl 1233.91262 Denis, Emmanuel; Kabanov, Yuri 15 2010 Markets with transaction costs. Mathematical theory. Zbl 1186.91006 Kabanov, Yuri M.; Safarian, Mher 142 2009 Hedging of American options under transaction costs. Zbl 1199.91177 De Vallière, D.; Denis, E.; Kabanov, Y. 13 2009 Mean square error for the Leland-Lott hedging strategy. Zbl 1188.91217 Gamys, Moussa; Kabanov, Yuri 3 2009 In discrete time a local martingale is a martingale under an equivalent probability measure. Zbl 1164.60031 Kabanov, Yuri 6 2008 On martingale selectors of cone-valued processes. Zbl 1151.91517 Kabanov, Yuri; Stricker, Christophe 5 2008 A positive interest rate model with sticky barrier. Zbl 1142.91530 Kabanov, Yuri; Kijima, Masaaki; Rinaz, Sofiane 6 2007 No-arbitrage criteria for financial markets with transaction costs and incomplete information. Zbl 1144.91017 De Vallière, Dimitry; Kabanov, Yuri; Stricker, Christophe 6 2007 The Dalang-Morton-Willinger theorem under delayed and restricted information. Zbl 1118.60033 Kabanov, Yuri; Stricker, Christophe 10 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. 49 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 29 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. 10 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 64 2002 On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Zbl 1073.91034 Kabanov, Yuri M.; Stricker, Christophe 50 2002 Non-arbitrage criteria for financial markets with efficient friction. Zbl 1026.60051 Kabanov, Yuri; Rásonyi, Miklós; Stricker, Christophe 39 2002 Hedging under transaction costs in currency markets: A continuous-time model. Zbl 1008.91049 Kabanov, Yuri M.; Last, Günter 26 2002 Hedging of contingent claims under transaction costs. Zbl 1016.91043 Kabanov, Yuri M.; Stricker, Christophe 16 2002 Hedging under transaction costs in currency markets: A discrete-time model. Zbl 1008.91046 Delbaen, Freddy; Kabanov, Yuri M.; Valkeila, Esko 14 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. 44 2001 A teachers’ note on no-arbitrage criteria. Zbl 0982.60032 Kabanov, Yuri; Stricker, Christophe 39 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 8 2000 Hedging and liquidation under transaction costs in currency markets. Zbl 0926.60036 Kabanov, Yu. M. 104 1999 Asymptotic arbitrage in large financial markets. Zbl 0894.90020 Kabanov, Yu. M.; Kramkov, D. O. 46 1998 Optional decomposition and Lagrange multipliers. Zbl 0894.90016 Föllmer, H.; Kabanov, Yu. M. 43 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 109 1997 Towards a general theory of bond markets. Zbl 0889.90019 Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang 78 1997 On Leland’s strategy of option pricing with transactions costs. Zbl 0911.90027 Kabanov, Yuri M.; Safarian, Mher M. 40 1997 On the FTAP of Kreps-Delbaen-Schachermayer. Zbl 0926.91017 Kabanov, Yu. M. 38 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 3 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. 48 1994 Large financial markets: Asymptotic arbitrage and contiguity. Zbl 0834.90018 Kabanov, Yu. M.; Kramkov, D. O. 39 1994 No-arbitrage and equivalent martingale measures: An elementary proof of the Harrison-Pliska theorem. Zbl 0834.60045 Kabanov, Yu. M.; Kramkov, D. O. 15 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. 14 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. 5 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 Optimal control of singularly perturbed stochastic linear systems. Zbl 0739.93080 Kabanov, Yu. M.; Pergamenshchikov, S. M. 2 1991 Asymptotic expansions for singularly perturbed stochastic differential equations. Zbl 0774.60054 Kabanov, Yu. M.; Pergamenshchikov, S. M.; Stoyanov, J. M. 1 1991 On optimal control of singularly perturbed stochastic differential equations. Zbl 0748.93080 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 Contiguity of distributions of multivariate point processes. Zbl 0634.60044 Kabanov, Yu. M. 1 1988 On the variation distance for probability measures defined on a filtered space. Zbl 0554.60006 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 14 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. 4 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. 6 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 A probabilistic modification of the von Neumann-Gale model. Zbl 0466.90015 Evstigneev, I. V.; Kabanov, Yu. M. 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. 17 1979 Absolute Stetigkeit und Singularität lokal absolut stetiger Wahrscheinlichkeitsverteilungen. II. Zbl 0427.60037 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 2 1979 Absolute Stetigkeit und Singularität lokal abolut stetiger Wahrscheinlichkeitsverteilungen. I. Zbl 0402.60039 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 10 1978 Necessary and sufficient conditions for absolute continuity of measures corresponding to point (counting) processes. Zbl 0416.60062 Kabanov, Yu.; Liptser, R.; Shiryaev, A. N. 10 1978 The capacity of a channel of the Poisson type. Zbl 0421.94009 Kabanov, Yu. M. 3 1978 On the question of absolute continuity and singularity of probability measures. Zbl 0398.60044 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 28 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 Criteria of absolute continuity of measures corresponding to multivariate point processes. Zbl 0349.60055 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 2 1976 On extended stochastic integrals. Zbl 0355.60047 Kabanov, Ju. M. 19 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. 2 1973 all cited Publications top 5 cited Publications all top 5 Cited by 1,064 Authors 30 Lépinette, Emmanuel 27 Kabanov, Yuriĭ Mikhaĭlovich 27 Rásonyi, Miklós 17 Schachermayer, Walter 15 Bouchard, Bruno 15 Rudloff, Birgit 13 Choulli, Tahir 12 Platen, Eckhard 11 Guasoni, Paolo 11 Klein, Irene 10 Carassus, Laurence 10 Evstigneev, Igor V. 10 Palamarchuk, E. S. 10 Pennanen, Teemu 10 Pergamenshchikov, Sergeĭ Markovich 9 Fontana, Claudio 9 Molchanov, Ilya S. 9 Runggaldier, Wolfgang J. 9 Tappe, Stefan 8 Belkina, Tat’yana Andreevna 8 Kardaras, Constantinos 8 Perkkiö, Ari-Pekka 8 Roux, Alet 7 Biagini, Francesca 7 Ceci, Claudia 7 Criens, David 7 Dolinsky, Yan 7 Feinstein, Zachary 7 Ferrari, Giorgio 7 Hamel, Andreas H. 7 Jeanblanc, Monique 7 Konyukhova, Nadyezhda B. 7 Kuhn, Christoph 7 Muhle-Karbe, Johannes 7 Nikitopoulos Sklibosios, Christina 7 Schmidt, Thorsten 7 Zabczyk, Jerzy 7 Zastawniak, Tomasz 6 Bank, Peter 6 Berkaoui, Abdelkarem 6 Chau, Huy N. 6 Chiarella, Carl 6 Grandits, Peter 6 Kohlmann, Michael 6 Last, Günter 6 Melnikov, Aleksander Viktorovich 6 Øksendal, Bernt Karsten 6 Peccati, Giovanni 6 Schweizer, Martin 6 Soner, Halil Mete 6 Stricker, Christophe 6 Tang, Qihe 6 Teichmann, Josef 6 Touzi, Nizar 6 Xiong, Dewen 5 Barski, Michał 5 Bayraktar, Erhan 5 Campi, Luciano 5 Cuchiero, Christa 5 Filipović, Damir 5 Kühn, Christian 5 Kurochkin, Sergey Vladimirovich 5 Löhne, Andreas 5 Perez-Ostafe, Lavinia 5 Ratanov, Nikita 5 Riedel, Frank 5 Sass, Jörn 5 Yin, Gang George 5 Žitković, Gordan 4 Aksamit, Anna 4 Bardi, Martino 4 Biagini, Sara 4 Chang, Mouhsiung 4 Chen, Yanhong 4 Cordero, Fernando 4 De Donno, Marzia 4 Deng, Jun 4 Denis, Emmanuel 4 Eberlein, Ernst W. 4 Fukasawa, Masaaki 4 Gaitsgory, Vladimir G. 4 Galtchouk, Leonid I. 4 Hu, Yijun 4 Jacka, Saul D. 4 Jouini, Elyès 4 Matsumoto, Koichi 4 Meyer-Brandis, Thilo 4 Neufeld, Ariel David 4 Nutz, Marcel 4 Proske, Frank Norbert 4 Schenk-Hoppé, Klaus Reiner 4 Shiryaev, Al’bert Nikolaevich 4 Song, Shiqi 4 Taflin, Erik 4 Taksar, Michael I. 4 Vostrikova, Lioudmila 4 Yang, Hailiang 4 Zhitlukhin, Mikhail V. 3 Aguilar, Erick Treviño 3 Bálint, Dániel Ágoston ...and 964 more Authors all top 5 Cited in 209 Serials 85 Finance and Stochastics 59 Stochastic Processes and their Applications 50 The Annals of Applied Probability 39 Mathematical Finance 38 International Journal of Theoretical and Applied Finance 29 Mathematics and Financial Economics 27 Insurance Mathematics & Economics 24 Quantitative Finance 23 Theory of Probability and its Applications 21 Applied Mathematical Finance 21 Stochastics 20 Journal of Mathematical Economics 19 Stochastic Analysis and Applications 14 Journal of Mathematical Analysis and Applications 12 Applied Mathematics and Optimization 12 Journal of Applied Probability 12 SIAM Journal on Control and Optimization 11 Statistics & Probability Letters 11 SIAM Journal on Financial Mathematics 11 Annals of Finance 10 Decisions in Economics and Finance 9 Advances in Applied Probability 9 Probability Theory and Related Fields 9 Bernoulli 9 Asia-Pacific Financial Markets 8 Mathematical Methods of Operations Research 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 Automation and Remote Control 6 Journal of Mathematical Sciences (New York) 6 Scandinavian Actuarial Journal 6 North American Actuarial Journal 5 Stochastics 5 Chaos, Solitons and Fractals 5 Applied Mathematics and Computation 5 Journal of Differential Equations 5 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 5 Journal of Theoretical Probability 5 Statistical Inference for Stochastic Processes 5 Frontiers of Mathematical Finance 4 Journal of Functional Analysis 4 Mathematics of Operations Research 4 Acta Mathematicae Applicatae Sinica. 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