Mihai Sîrbu

14 papers Journal 14
YearRankTypeTitle / Venue / Authors
2020 J jnl
Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model.
SIAM J. Financial Math.
Karel Janecek, Zheng Li, Mihai Sîrbu
2018 J jnl
Zero-Sum Stochastic Differential Games Without the Isaacs Condition: Random Rules of Priority and Intermediate Hamiltonians.
SIAM J. Control. Optim.
Daniel Hernández-Hernández, Mihai Sîrbu
2015 J jnl
Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control.
SIAM J. Control. Optim.
Mihai Sîrbu
2014 J jnl
On Martingale Problems with Continuous-Time Mixing and Values of Zero-Sum Games without the Isaacs Condition.
SIAM J. Control. Optim.
Mihai Sîrbu
2014 J jnl
Stochastic Perron's Method and Elementary Strategies for Zero-Sum Differential Games.
SIAM J. Control. Optim.
Mihai Sîrbu
2013 J jnl
Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs.
SIAM J. Control. Optim.
Jin Hyuk Choi, Mihai Sîrbu, Gordan Zitkovic
2013 J jnl
Stochastic Perron's Method for Hamilton-Jacobi-Bellman Equations.
SIAM J. Control. Optim.
Erhan Bayraktar, Mihai Sîrbu
2012 J jnl
Optimal Investment with High-watermark Performance Fee.
SIAM J. Control. Optim.
Karel Janecek, Mihai Sîrbu
2012 J jnl
Stochastic Perron's method for Hamilton-Jacobi-Bellman equations
CoRR
Erhan Bayraktar, Mihai Sîrbu
2011 J jnl
Probabilistic Perron's method and verification without smoothness using viscosity comparison: the linear case
CoRR
Erhan Bayraktar, Mihai Sîrbu
2009 J jnl
In which financial markets do mutual fund theorems hold true?
Finance Stochastics
Walter Schachermayer, Mihai Sîrbu, Erik Taflin
2006 J jnl
A Two-Person Game for Pricing Convertible Bonds.
SIAM J. Control. Optim.
Mihai Sîrbu, Steven E. Shreve
2004 J jnl
Perpetual Convertible Bonds.
SIAM J. Control. Optim.
Mihai Sîrbu, Igor Pikovsky, Steven E. Shreve
2001 J jnl
Null controllability of an infinite dimensional SDE with state- and control-dependent noise.
Syst. Control. Lett.
Mihai Sîrbu, Gianmario Tessitore