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Log-optimal portfolios with memory effect
Nika, Zsolt; Rásonyi, Miklos - In: Applied mathematical finance 25 (2018) 5/6, pp. 557-585
Persistent link: https://www.econbiz.de/10012129182
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In the insurance business risky investments are dangerous
Frolova, Anna; Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 6 (2002) 2, pp. 227-235
Persistent link: https://www.econbiz.de/10001662472
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From stochastic calculus to mathematical finance : the Shiryaev Festschrift ; [Second Bachelier Colloquium on Stochastic Calculus and Probability, Metabief, France, January 9 - 15, 2005]
Kabanov, Jurij M. (ed.); Širjaev, Alʹbert N. (honouree);  … - 2006
Persistent link: https://www.econbiz.de/10003204148
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Consumption-investment problem with transaction costs for Lévy-driven price processes
Vallière, Dimitri De; Kabanov, Jurij M.; Lépinette, … - In: Finance and stochastics 20 (2016) 3, pp. 705-740
Persistent link: https://www.econbiz.de/10011531437
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In the insurance business risky investments are dangerous : the case of negative risk sums
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 20 (2016) 2, pp. 355-379
Persistent link: https://www.econbiz.de/10011471125
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Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 24 (2020) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10012253340
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On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897
Persistent link: https://www.econbiz.de/10013440255