Yan Dolinsky

15 papers Journal 15
YearRankTypeTitle / Venue / Authors
2026 J jnl
A Unique Inverse Decomposition of Positive Definite Matrices under Linear Constraints.
CoRR
Yan Dolinsky, Or Zuk
2026 J jnl
Scaling Limits for Exponential Hedging in the Brownian Framework.
SIAM J. Control. Optim.
Yan Dolinsky, Xin Zhang
2025 J jnl
Explicit Computations for Delayed Semistatic Hedging.
SIAM J. Financial Math.
Yan Dolinsky, Or Zuk
2025 J jnl
Exponential utility maximization with delay in a continuous time Gaussian framework.
Syst. Control. Lett.
Yan Dolinsky
2025 J jnl
Some computations for optimal execution with monotone strategies.
Syst. Control. Lett.
Yan Dolinsky
2024 J jnl
Duality theory for exponential utility-based hedging in the Almgren-Chriss model.
J. Appl. Probab.
Yan Dolinsky
2023 J jnl
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework.
SIAM J. Financial Math.
Yan Dolinsky, Or Zuk
2022 J jnl
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact.
SIAM J. Financial Math.
Yan Dolinsky, Shir Moshe
2021 J jnl
Short Communication: A Note on Utility Indifference Pricing with Delayed Information.
SIAM J. Financial Math.
Peter Bank, Yan Dolinsky
2021 J jnl
Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios.
SIAM J. Financial Math.
Erhan Bayraktar, Christoph Czichowsky, Leonid Dolinskyi, Yan Dolinsky
2018 J jnl
Recombining Tree Approximations for Optimal Stopping for Diffusions.
SIAM J. Financial Math.
Erhan Bayraktar, Yan Dolinsky, Jia Guo
2017 J jnl
Convex Duality with Transaction Costs.
Math. Oper. Res.
Yan Dolinsky, H. Mete Soner
2017 J jnl
The scaling limit of superreplication prices with small transaction costs in the multivariate case.
Finance Stochastics
Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö
2014 J jnl
Robust hedging with proportional transaction costs.
Finance Stochastics
Yan Dolinsky, H. Mete Soner
2013 J jnl
Duality and convergence for binomial markets with friction.
Finance Stochastics
Yan Dolinsky, Halil Mete Soner