Mikhail Urusov

Ulm University
Faculty of Mathematics and Economics
Institute of Financial Mathematics
Helmholtzstraße 18
89081 Ulm
Germany

Tel.: +49 731 50 23518
Fax: +49 731 50 31096
E-Mail: firstname.familyname@uni-ulm.de
Professional website: http://www.uni-ulm.de/mawi/finmath/people/urusov.html

Curriculum Vitae

List of publications

Ph.D. thesis

• M. Urusov. On the absolute continuity and singularity of probability measures on a filtered probability space. Ph.D. thesis, Moscow State University, 2003 (in Russian) [pdf]

Refereed publications (for publishers' PDF versions see the journals' websites)

• A. Mijatovic, N. Novak, and M. Urusov. Martingale property of generalized stochastic exponentials. To appear in Séminaire de Probabilités [pdf]
• A. Mijatovic and M. Urusov. On the martingale property of certain local martingales. Probability Theory and Related Fields, 152(1):1--30, 2012, DOI 10.1007/s00440-010-0314-7 [pdf]
• A. Mijatovic and M. Urusov. Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models. Finance and Stochastics, 16(2):225--247, 2012, DOI 10.1007/s00780-010-0152-6 [pdf]
• A. Mijatovic and M. Urusov. A note on a paper by Wong and Heyde. Journal of Applied Probability, 48(3):811--819, 2011 [pdf]
• H.R. Lerche and M. Urusov. On minimax duality in optimal stopping. Sequential Analysis, 29(3):328--342, 2010 [pdf]
• D. Belomestny, L. Rüschendorf, and M. Urusov. Optimal stopping of integral functionals and a "no-loss" free boundary formulation. SIAM Theory of Probability and Its Applications, 54(1):14--28, 2010 [pdf]
• H.-J. Engelbert, M. Urusov, and M. Walther. A canonical setting and separating times for continuous local martingales. Stochastic Processes and Their Applications, 119:1039--1054, 2009 [pdf]
• L. Rüschendorf and M. Urusov. On a class of optimal stopping problems for diffusions with discontinuous coefficients. Annals of Applied Probability, 18(3):847--878, 2008 [pdf]
• H.R. Lerche and M. Urusov. Optimal stopping via measure transformation: the Beibel-Lerche approach. Stochastics, 79(3--4):275--291, 2007 [pdf]
• A. Cherny and M. Urusov. On the absolute continuity and singularity of measures on filtered spaces: separating times. In From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift. Eds. Yu. Kabanov, R. Liptser, J. Stoyanov, p. 125--168, Springer, Berlin, 2006 [pdf]
• M. Urusov. On a property of the time of attaining the maximum by Brownian motion and some optimal stopping problems. SIAM Theory of Probability and Its Applications, 49(1):169--176, 2005 [pdf]
• A. Cherny and M. Urusov. Separating times for measures on filtered spaces. SIAM Theory of Probability and Its Applications, 48(2):337--347, 2004 [pdf]
• M. Urusov. The use of separating times to prove the singularity of Gaussian measures. Russian Mathematical Surveys, 58(4):807--809, 2003
• M. Urusov. Optimal prediction of the time of attaining the maximum by Brownian motion. Russian Mathematical Surveys, 57(1):163--164, 2002
• M. Urusov. Conditions for the absence of arbitrage in discrete financial models. Russian Mathematical Surveys, 54(5):1053--1055, 1999

Preprints

• A. Fruth, T. Schöneborn, and M. Urusov. Optimal trade execution and price manipulation in order books with time-varying liquidity. [pdf]
• A. Mijatovic and M. Urusov. Convergence of integral functionals of one-dimensional diffusions. [pdf]
• A. Mijatovic and M. Urusov. A note on delta hedging in markets with jumps. [pdf]
• P. Carr, A. Cherny, and M. Urusov. On the martingale property of time-homogeneous diffusions. [pdf]

Some of the papers are also available at arXiv

Last updated: March 12, 2012