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Prof. Mikhail Urusov

Fakultät für Mathematik

Anschrift
Thea-Leymann-Str. 9
45127 Essen
Raum
WSC-W-3.25
Telefon
+ 49 201 183 74 28
E-Mail
mikhail.urusov@uni-due.de

Funktionen

  • ---, Mathematik

  • Professor/in, Personal FB Mathematik, Campus Essen

Die folgenden Publikationen sind in der Online-Universitätsbibliographie der Universität Duisburg-Essen verzeichnet. Weitere Informationen finden Sie gegebenenfalls auch auf den persönlichen Webseiten der Person.

    Artikel in Zeitschriften

  • Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
    Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems
    In: Finance and Stochastics (2024) Nr. 28, S. 813 - 863
    Online Volltext: dx.doi.org/ (Open Access)
  • Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
    Self-exciting price impact via negative resilience in stochastic order books
    In: Annals of Operations Research Jg. 336 (2024) Nr. 1-2, S. 637 - 659
    Online Volltext: dx.doi.org/ (Open Access)
  • Krätschmer, Volker; Urusov, Mikhail
    A Kolmogorov–Chentsov Type Theorem on General Metric Spaces with Applications to Limit Theorems for Banach-Valued Processes
    In: Journal of Theoretical Probability Jg. 36 (2023) Nr. 3, S. 1454 - 1486
    Online Volltext: dx.doi.org/ (Open Access)
  • Ankirchner, Stefan; Kruse, Thomas; Löhr, Wolfgang; Urusov, Mikhail
    Properties of the EMCEL scheme for approximating irregular diffusions
    In: Journal of Mathematical Analysis and Applications Jg. 509 (2022) Nr. 1, 125931
    Online Volltext: dx.doi.org/ (Open Access)
  • Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
    Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
    In: Finance and Stochastics Jg. 25 (2021) Nr. 4, S. 757 - 810
    Online Volltext: dx.doi.org/ (Open Access)
  • Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
    Optimal trade execution in an order book model with stochastic liquidity parameters
    In: SIAM Journal on Financial Mathematics Jg. 12 (2021) Nr. 2, S. 788 - 822
    Online Volltext: dx.doi.org/ (Open Access)
  • Muravlev, Alexey; Urusov, Mikhail; Zhitlukhin, Mikhail
    Sequential tracking of an unobservable two-state Markov process under Brownian noise
    In: Sequential Analysis Jg. 40 (2021) Nr. 1, S. 1 - 16
    Online Volltext: dx.doi.org/ (Open Access)
  • Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail
    Wasserstein convergence rates for random bit approximations of continuous Markov processes
    In: Journal of Mathematical Analysis and Applications Jg. 493 (2021) Nr. 2, 124543
    Online Volltext: dx.doi.org/ (Open Access)
  • Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail
    A functional limit theorem for coin tossing Markov chains
    In: Annales de l'Institut Henri Poincaré (B): Probability and Statistics Jg. 56 (2020) Nr. 4, S. 2996 - 3019
    Online Volltext: dx.doi.org/ (Open Access)
  • Kruse, Thomas; Urusov, Mikhail
    Approximating exit times of continuous markov processes
    In: Discrete and Continuous Dynamical Systems: Series B (DCDS-B) Jg. 25 (2020) Nr. 9, S. 3631 - 3650
    Online Volltext: dx.doi.org/ (Open Access)
  • Gushchin, A. A.; Urusov, Mikhail
    Minimal embeddings of integrable processes in a Brownian motion
    In: Russian Mathematical Surveys Jg. 74 (2019) Nr. 5, S. 953 - 955
    Online Volltext: dx.doi.org/
  • Fruth, Antje; Schöneborn, Torsten; Urusov, Mikhail
    Optimal trade execution in order books with stochastic liquidity
    In: Mathematical Finance Jg. 29 (2019) Nr. 2, S. 507 - 541
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
    Regression-based complexity reduction of the nested monte carlo methods
    In: SIAM Journal on Financial Mathematics Jg. 9 (2018) Nr. 2, S. 665 - 689
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Häfner, S.; Urusov, Mikhail
    Stratified regression-based variance reduction approach for weak approximation schemes
    In: Mathematics and Computers in Simulation Jg. 143 (2018) S. 125 - 137
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Häfner, Stefan; Nagapetyan, Tigran; Urusov, Mikhail
    Variance reduction for discretised diffusions via regression
    In: Journal of Mathematical Analysis and Applications Jg. 458 (2018) Nr. 1, S. 393 - 418
    Online Volltext: dx.doi.org/ (Open Access)
  • Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail
    A functional limit theorem for irregular SDEs
    In: Annales de l'Institut Henri Poincaré (B): Probability and Statistics Jg. 53 (2017) Nr. 3, S. 1438 - 1457
    Online Volltext: dx.doi.org/ (Open Access)
  • Urusov, Mikhail; Zervos, Mihail
    Necessary and sufficient conditions for the r-excessive local martingales to be martingales
    In: Electronic Communications in Probability Jg. 22 (2017) S. 10
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
    Truncated control variates for weak approximation schemes
    In: ESAIM: Proceedings and Surveys Jg. 59 (2017) S. 15 - 42
    Online Volltext: dx.doi.org/ (Open Access)
  • Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail
    WLLN for arrays of nonnegative random variables
    In: Statistics and Probability Letters Jg. 122 (2017) S. 73 - 78
    Online Volltext: dx.doi.org/
  • Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail
    Numerical approximation of irregular SDEs via Skorokhod embeddings
    In: Journal of Mathematical Analysis and Applications Jg. 440 (2016) Nr. 2, S. 692 - 715
    Online Volltext: dx.doi.org/
  • Gushchin, A. A.; Urusov, Mikhail
    Processes that can be embedded in a geometric Brownian motion
    In: Theory of Probability and its Applications: a publication of the Society for Industrial and Applied Mathematics Jg. 60 (2016) Nr. 2, S. 248 - 271
    Online Volltext: dx.doi.org/; Online Volltext: dx.doi.org/
  • Mijatovic, Aleksandar; Urusov, Mikhail
    On the Loss of the Semimartingale Property at the Hitting Time of a Level
    In: Journal of Theoretical Probability Jg. 28 (2015) Nr. 3, S. 892 - 922
    Online Volltext: dx.doi.org/ (Open Access)
  • Mijatovic, Aleksandar; Urusov, Mikhail
    A note on delta hedging in markets with jumps
    In: IMA Journal of Applied Mathematics Jg. 79 (2014) Nr. 2, S. 300 - 312
    Online Volltext: dx.doi.org/
  • Gushchin, Alexander; Urusov, Mikhail; Zervos, Mihail
    On the submartingale/supermartingale property of diffusions in natural scale
    In: Proceedings of the Steklov Institute of Mathematics Jg. 287 (2014) Nr. 1, S. 122 - 132
    Online Volltext: dx.doi.org/
  • Fruth, Antje; Schöneborn, Torsten; Urusov, Mikhail
    Optimal trade execution and price manipulation in order books with time-varying liquidity
    In: Mathematical Finance Jg. 24 (2014) Nr. 4, S. 651 - 695
    Online Volltext: dx.doi.org/
  • Mijatovic, Aleksandar; Urusov, Mikhail
    Convergence of integral functionals of one-dimensional diffusions
    In: Electronic Communications in Probability Jg. 17 (2012) S. 61
    Online Volltext: dx.doi.org/ (Open Access)
  • Mijatovic, Aleksandar; Urusov, Mikhail
    Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
    In: Finance and stochastics Jg. 16 (2012) Nr. 2, S. 225 - 247
    Online Volltext: dx.doi.org/
  • Mijatovic, Aleksandar; Urusov, Mikhail
    On the martingale property of certain local martingales
    In: Probability theory and related fields Jg. 152 (2012) Nr. 1, S. 1 - 30
    Online Volltext: dx.doi.org/
  • Mijatovic, Aleksandar; Urusov, Mikhail
    A note on a paper by Wong and Heyde
    In: Journal of applied probability Jg. 48 (2011) Nr. 3, S. 811 - 819
    Online Volltext: dx.doi.org/
  • Lerche, Hans Rudolf; Urusov, Mikhail
    On minimax duality in optimal stopping
    In: Sequential Analysis Jg. 29 (2010) Nr. 3, S. 328 - 342
    Online Volltext: dx.doi.org/
  • Belomestny, Denis; Rüschendorf, L.; Urusov, Mikhail
    Optimal Stopping of Integral Functionals and a “No-Loss” Free Boundary Formulation
    In: Theory of Probability and its Applications: a publication of the Society for Industrial and Applied Mathematics Jg. 54 (2010) Nr. 1, S. 14 - 28
    Online Volltext: dx.doi.org/
  • Engelbert, H.-J.; Urusov, Mikhail; Walther, M.
    A canonical setting and separating times for continuous local martingales
    In: Stochastic Processes and their Applications Jg. 119 (2009) Nr. 4, S. 1039 - 1054
    Online Volltext: dx.doi.org/
  • Rüschendorf, Ludger; Urusov, Mikhail
    On a Class of Optimal Stopping Problems for Diffusions with Discontinuous Coefficients
    In: The annals of applied probability Jg. 18 (2008) Nr. 3, S. 847 - 878
    Online Volltext: dx.doi.org/
  • Lerche, Hans Rudolf; Urusov, Mikhail
    Optimal stopping via measure transformation : the Beibel–Lerche approach
    In: Stochastics: An International Journal of Probability and Stochastic Processes Jg. 79 (2007) Nr. 3-4, S. 275 - 291
    Online Volltext: dx.doi.org/
  • Urusov, Mikhail
    On a property of the time of attaining the maximum by Brownian motion and some optimal stopping problems
    In: Theory of probability and its applications Jg. 49 (2005) Nr. 1, S. 169 - 176
    Online Volltext: dx.doi.org/
  • Cherny, Alexander; Urusov, Mikhail
    Separating Times for Measures on Filtered Spaces
    In: Theory of probability and its applications Jg. 48 (2004) Nr. 2, S. 337 - 347
    Online Volltext: dx.doi.org/
  • Urusov, Mikhail
    The use of separating times in proving singularity of Gaussian measures
    In: Russian mathematical surveys Jg. 58 (2003) Nr. 4, S. 807 - 809
    Online Volltext: dx.doi.org/
  • Urusov, Mikhail
    Optimal forecasting of the time of attaining the maximum by Brownian motion
    In: Russian mathematical surveys Jg. 57 (2002) Nr. 1, S. 163 - 164
    Online Volltext: dx.doi.org/
  • Urusov, Mikhail
    No-arbitrage conditions in discrete financial models
    In: Russian mathematical surveys Jg. 54 (1999) Nr. 5, S. 1053 - 1055
    Online Volltext: dx.doi.org/

    • Preprints

  • Belomestny, Denis; Moulines, Eric; Shagadatov, Nurlan; Urusov, Mikhail
    Variance reduction for MCMC methods via martingale representations
    (2019) 30 Seiten
    (Open Access)

    • Beiträge in Sammelwerken und Tagungsbänden

  • Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
    Regression-Based Variance Reduction Approach for Strong Approximation Schemes
    In: Modern Problems of Stochastic Analysis and Statistics: Selected Contributions In Honor of Valentin Konakov / International Conference on Modern problems of stochastic analysis and statistics, in honor On the occasion of Valentin Konakov’s 70th birthday, 2016; Moscow; Russian Federation; 29 May 2016 through 2 June 2016 / Panov, Vladimir (Hrsg.) 2017, S. 131 - 178
    Online Volltext: dx.doi.org/
  • Mijatovic, Aleksandar; Novak, Nika; Urusov, Mikhail
    Martingale Property of Generalized Stochastic Exponentials
    In: Séminaire de probabilités XLIV / Donati-Martin, Catherine; Lejay, Antoine; Rouault, Alain (Hrsg.) 2012, S. 41 - 59
    Online Volltext: dx.doi.org/
  • Cherny, Alexander; Urusov, Mikhail
    On the Absolute Continuity and Singularity of Measures on Filtered Spaces : Separating Times
    In: From stochastic calculus to mathematical finance 2006
    Online Volltext: dx.doi.org/

    • Working Paper

  • Ankirchner, Stefan; Klein, Maike; Kruse, Thomas; Urusov, Mikhail
    On a certain local martingale in a general diffusion setting
    (2018) 7 Seiten
    Online Volltext
  • Carr, Peter; Cherny, Alexander; Urusov, Mikhail
    On the martingale property of time-homogeneous diffusions
    (2007) 9 Seiten
    Online Volltext: dx.doi.org/ Online Volltext (Open Access)