Research

Peer-reviewed publications and preprints after 2020

• David Criens and Mikhail Urusov.
  Criteria for NUPBR, NFLVR and the existence of EMMs in integrated diffusion markets.
  [arXiv]

• David Criens and Mikhail Urusov.
  Separating times for one-dimensional diffusions.
  [arXiv]

• Julia Ackermann, Thomas Kruse and Mikhail Urusov.
  Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems.
  Accepted in Finance and Stochastics, 2023.
  [arXiv]

• Julia Ackermann, Thomas Kruse and Mikhail Urusov.
  Self-exciting price impact via negative resilience in stochastic order books.
  Annals of Operations Research, 2022.
  [article] [arXiv]

• Volker Krätschmer and Mikhail Urusov.
  A Kolmogorov-Chentsov type theorem on general metric spaces with applications to limit theorems for Banach-valued processes.
  Journal of Theoretical Probability, 36:1454-1486, 2023.
  [article] [arXiv]

• Julia Ackermann, Thomas Kruse and Mikhail Urusov.
  Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models.
  Finance and Stochastics, 25(4):757-810, 2021.
  [article] [arXiv]

• Julia Ackermann, Thomas Kruse and Mikhail Urusov.
  Optimal trade execution in an order book model with stochastic liquidity parameters.
  SIAM Journal on Financial Mathematics, 12(2):788-822, 2021.
  [article] [arXiv]

• Stefan Ankirchner, Thomas Kruse, Wolfgang Löhr and Mikhail Urusov.
  Properties of the EMCEL scheme for approximating irregular diffusions.
  Journal of Mathematical Analysis and Applications, 509(1), Paper No. 125931, 29 pp., 2022.
  [article] [arXiv]

• Stefan Ankirchner, Thomas Kruse and Mikhail Urusov.
  Wasserstein convergence rates for random bit approximations of continuous Markov processes.
  Journal of Mathematical Analysis and Applications, 493(2), Paper No. 124543, 31 pp., 2021.
  [article] [arXiv]

• Alexey Muravlev, Mikhail Urusov and Mikhail Zhitlukhin.
  Sequential tracking of an unobservable two-state Markov process under Brownian noise.
  Sequential Analysis, 40(1):1-16, 2021.
  [article] [arXiv]

• Stefan Ankirchner, Thomas Kruse and Mikhail Urusov.
  A functional limit theorem for coin tossing Markov chains.
  Annales de l’Institut Henri Poincaré – Probabilités et Statistiques, 56(4):2996–3019, 2020.
  [article] [arXiv]

• Thomas Kruse and Mikhail Urusov.
  Approximating exit times of continuous Markov processes.
  Discrete and Continuous Dynamical Systems – Series B, 25(9):3631–3650, 2020.
  [article] [arXiv]

Older publications ...

... can be found here