Up a level |

Jump to: Article | Book Section

Number of items: **24**.

Zervos, Mihail, Johnson, Timothy C. and Alazemi, Fares
(2013)
*Buy-low and sell-high investment strategies.*
Mathematical Finance, 23
(3).
pp. 560-578.
ISSN 0960-1627

Lamberton, Damien and Zervos, Mihail
(2013)
*On the optimal stopping of a one-dimensional diffusion.*
Electronic Journal of Probability, 18
.
p. 34.
ISSN 1083-6489

Lokka, Arne and Zervos, Mihail
(2013)
*Long-term optimal investment strategies in the presence of adjustment costs.*
SIAM Journal on Control and Optimization, 51
(2).
pp. 996-1034.
ISSN 0363-0129

Hernandez-Hernandez, Daniel, Simon, Robert and Zervos, Mihail
(2013)
*A zero-sum game between a singular stochastic controller and a discretionary stopper.*
Annals of Applied Probability
.
ISSN 1050-5164
(In Press)

Lon, Pui Chan and Zervos, Mihail
(2011)
*A model for optimally advertising and launching a product.*
Mathematics of Operations Research, 36
(2).
pp. 363-376.
ISSN 0364-765X

Lokka, A. and Zervos, Mihail
(2011)
*A model for the long-term optimal capacity level of an investment project.*
International Journal of Theoretical and Applied Finance, 14
(02).
p. 187.
ISSN 0219-0249

Guo, Xin and Zervos, Mihail
(2010)
*Pi options.*
Stochastic Processes and Their Applications, 120
(7).
pp. 1033-1059.
ISSN 0304-4149

Johnson, Timothy C. and Zervos, Mihail
(2010)
*The explicit solution to a sequential switching problem with non-smooth data.*
Stochastics: an International Journal of Probability and Stochastic Processes, 82
(1).
pp. 69-109.
ISSN 1744-2508

Jack, Andrew, Johnson, Timothy and Zervos, Mihail
(2008)
*A singular control model with application to the goodwill problem.*
Stochastic Processes and Their Applications, 118
(11).
pp. 2098-2124.
ISSN 0304-4149

Michael, Edwin, Malecela, Mwele, Zervos, Mihail and Kazura, James
(2008)
*Global eradication of lymphatic filariasis: the value of chronic disease control in parasite elimination programmes.*
PLOS One, 3
(8).
ISSN 1932-6203

Lokka, A. and Zervos, Mihail
(2008)
*Optimal dividend and issuance of equity policies in the presence of proportional costs.*
Insurance: Mathematics and Economics, 42
(3).
pp. 954-961.
ISSN 0167-6687

Merhi, A and Zervos, Mihail
(2007)
*A model for reversible investment capacity expansion.*
SIAM Journal on Control and Optimization, 46
(3).
pp. 839-876.
ISSN 0363-0129

Zervos, Mihail
(2007)
*The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure.*
Stochastics: an International Journal of Probability and Stochastic Processes, 79
(3 and ).
pp. 363-382.
ISSN 1744-2508

Zervos, Mihail, Bronstein, Anne Laure, Hughston, Lane P and Pistorius, Martijn R
(2006)
*Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function.*
Journal of Applied Probability, 43
(4).
pp. 984-996.
ISSN 0021-9002

Jack, Andrew and Zervos, Mihail
(2006)
*Impulse control of one-dimensional Itô diffusions with an expected and a pathwise ergodic criterion.*
Applied Mathematics and Optimization, 54
(1).
pp. 71-93.
ISSN 0095-4616

Zervos, Mihail, Lasserre, Jean Bernard and Prieto-Rumeau, T
(2006)
*Pricing a class of exotic options via moments and SDP relaxations.*
Mathematical Finance, 16
(3).
pp. 429-494.
ISSN 0960-1627

Zervos, Mihail and Bronstein, A L
(2006)
*Sequential entry and exit decisions with an ergodic performance criterion.*
Stochastics, 78
(2).
pp. 99-121.
ISSN 1744-2508

Zervos, Mihail and Jack, Andrew
(2006)
*A singular control problem with an expected and a pathwise ergodicperformance criterion.*
Journal of Applied Mathematics and Stochastic Analysis, 2006
(82538).
pp. 1-19.
ISSN 1687-2177

Zervos, Mihail
(2003)
*A problem of sequential entry and exit decisions combined with discretionary stopping.*
SIAM Journal on Control and Optimization, 42
(2).
pp. 397-421.
ISSN 0363-0129

Brody, Dorje C., Syroka, Joanna and Zervos, Mihail
(2002)
*Dynamical pricing of weather derivatives.*
Quantitative Finance, 2
(3).
pp. 189-198.
ISSN 1469-7688

Lumley, Richard R. and Zervos, Mihail
(2001)
*A model for investments in the natural resource industry with switching costs.*
Mathematics of Operations Research, 26
(4).
pp. 637-653.
ISSN 0364-765X

Duckworth, Kate and Zervos, Mihail
(2001)
*A model for investment decisions with switching costs.*
Annals of Applied Probability, 11
(1).
pp. 239-260.
ISSN 1050-5164

Melas, Dimitris and Zervos, Mihail
(2010)
*An ergodic impulse control model with applications.*
In: Piunovskiy, Alexey, (ed.)
Modern Trends in Controlled Stochastic Processes: Theory and Application.
Luniver Press, London, UK, pp. 161-181.
ISBN 9781905986309

Jack, Andrew and Zervos, Mihail
(2006)
*Impulse and absolutely continuous ergodic control of one-dimensional Ito diffusions.*
In: Kabanov, Yu, Lipster, R. and Stoyanov, J., (eds.)
From Stochastic Calculus to Mathematical Finance: the Shiryaev Festschrift.
Springer, Berlin, Germany, pp. 295-314.
ISBN 9783540307822

This list was generated on **Sat May 23 00:48:55 2015 BST**.

Mission Statement & FAQs | Contact us | Copyright © LSE Experts | LSE Research Online supports OAI 2.0 with a base URL of