×

Kabanov, Yuriĭ Mikhaĭlovich

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: 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

Publications by Year

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 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. English Series
4 Journal of Economic Dynamics & Control
4 Computational Mathematics and Mathematical Physics
4 Communications in Statistics. Theory and Methods
4 European Journal of Operational Research
4 Electronic Journal of Probability
4 Journal of Systems Science and Complexity
4 Review of Derivatives Research
3 Journal of Statistical Physics
3 Physica A
3 Automatica
3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 Physica D
3 Journal of Applied Mathematics and Stochastic Analysis
3 Annals of Operations Research
3 Journal of Global Optimization
3 Mathematical Programming. Series A. Series B
3 Cybernetics and Systems Analysis
3 Electronic Communications in Probability
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 Methodology and Computing in Applied Probability
3 Frontiers of Mathematics in China
3 Set-Valued and Variational Analysis
3 International Journal of Stochastic Analysis
3 Statistics & Risk Modeling
3 Modern Stochastics. Theory and Applications
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 International Journal of Mathematics and Mathematical Sciences
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 International Journal of Computer Mathematics
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Stochastics and Stochastics Reports
2 Journal of Dynamics and Differential Equations
2 Potential Analysis
2 NoDEA. Nonlinear Differential Equations and Applications
2 Mathematical Problems in Engineering
2 Positivity
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 Brazilian Journal of Probability and Statistics
2 Stochastics and Dynamics
2 ASTIN Bulletin
2 Journal of Industrial and Management Optimization
2 ALEA. Latin American Journal of Probability and Mathematical Statistics
2 Probability Surveys
2 Journal of Probability and Statistics
...and 109 more Serials
all top 5

Cited in 45 Fields

724 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
617 Probability theory and stochastic processes (60-XX)
135 Systems theory; control (93-XX)
74 Calculus of variations and optimal control; optimization (49-XX)
66 Statistics (62-XX)
53 Operations research, mathematical programming (90-XX)
51 Partial differential equations (35-XX)
31 Numerical analysis (65-XX)
28 Functional analysis (46-XX)
23 Ordinary differential equations (34-XX)
15 Dynamical systems and ergodic theory (37-XX)
15 Integral equations (45-XX)
13 Real functions (26-XX)
11 Measure and integration (28-XX)
7 Convex and discrete geometry (52-XX)
7 Quantum theory (81-XX)
6 Information and communication theory, circuits (94-XX)
5 Order, lattices, ordered algebraic structures (06-XX)
5 Global analysis, analysis on manifolds (58-XX)
4 Operator theory (47-XX)
4 General topology (54-XX)
4 Computer science (68-XX)
4 Statistical mechanics, structure of matter (82-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 Approximations and expansions (41-XX)
2 History and biography (01-XX)
2 Differential geometry (53-XX)
2 Fluid mechanics (76-XX)
2 Geophysics (86-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 Geometry (51-XX)
1 Mechanics of particles and systems (70-XX)
1 Classical thermodynamics, heat transfer (80-XX)

Citations by Year