Mikhail Urusov

Address:
University of Duisburg-Essen
Faculty of Mathematics
Thea-Leymann-Straße 9
45127 Essen
Germany

Room: WSC-W-3.25
Tel.: +49 201 183 7428
E-Mail: firstname.familyname@uni-due.de
Professional website

Research interests

• Stochastic Analysis
• Numerical Stochastics
• Stochastic Optimization
• Mathematical Finance

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]

Peer-reviewed publications (for publishers' versions see the journals' websites)

• S. Ankirchner, T. Kruse, and M. Urusov. WLLN for arrays of nonnegative random variables. To appear in Statistics & Probability Letters [pdf]
• S. Ankirchner, T. Kruse, and M. Urusov. A functional limit theorem for irregular SDEs. To appear in Annales de l'Institut Henri Poincaré - Probabilités et Statistiques [pdf]
• S. Ankirchner, T. Kruse, and M. Urusov. Numerical approximation of irregular SDEs via Skorokhod embeddings. Journal of Mathematical Analysis and Applications, 440:692--715, 2016 [pdf]
• A. Gushchin and M. Urusov. Processes that can be embedded in a geometric Brownian motion. To appear in Theory of Probability and Its Applications [pdf]
• A. Mijatovic and M. Urusov. On the loss of the semimartingale property at the hitting time of a level. Journal of Theoretical Probability, 28:892--922, 2015, DOI 10.1007/s10959-013-0527-7 [pdf]
• A. Gushchin, M. Urusov, and M. Zervos. On the submartingale / supermartingale property of diffusions in natural scale. Proceedings of the Steklov Institute of Mathematics, 287:122--132, 2014, DOI 10.1134/S0081543814080082 [pdf]
• A. Fruth, T. Schöneborn, and M. Urusov. Optimal trade execution and price manipulation in order books with time-varying liquidity. Mathematical Finance, 24(4):651--695, 2014, DOI 10.1111/mafi.12022 [pdf]
• A. Mijatovic and M. Urusov. A note on delta hedging in markets with jumps. IMA Journal of Applied Mathematics, 79(2):300--312, 2014, DOI 10.1093/imamat/hxs065 [pdf]
• A. Mijatovic and M. Urusov. Convergence of integral functionals of one-dimensional diffusions. Electronic Communications in Probability, 17, no. 61, 1--13, 2012, DOI 10.1214/ECP.v17-1825 [pdf]
• A. Mijatovic, N. Novak, and M. Urusov. Martingale property of generalized stochastic exponentials. Séminaire de Probabilités 44, Lecture Notes in Mathematics 2046, 41--59, Springer, 2012, DOI 10.1007/978-3-642-27461-9__2 [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. 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. Theory of Probability and Its Applications, 49(1):169--176, 2005 [pdf]
• A. Cherny and M. Urusov. Separating times for measures on filtered spaces. 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

• D. Belomestny, S. Häfner, and M. Urusov. Regression-based complexity reduction of the dual nested Monte Carlo methods, 2016 [pdf]
• D. Belomestny, S. Häfner, T. Nagapetyan, and M. Urusov. Variance reduction for discretised diffusions via regression, 2016 [pdf]
• M. Urusov and M. Zervos. Necessary and sufficient conditions for the r-excessive local martingales to be martingales, 2016 [pdf]
• D. Belomestny, S. Häfner, and M. Urusov. Stratified regression-based variance reduction approach for weak approximation schemes, 2016 [pdf]
• A. Fruth, T. Schöneborn, and M. Urusov. Optimal trade execution in order books with stochastic liquidity, 2015 [pdf]

Unpublished work

• P. Carr, A. Cherny, and M. Urusov. On the martingale property of time-homogeneous diffusions, 2007 [pdf]

Some of the papers are also available at arXiv, SSRN, HAL

Last updated: November 18, 2016