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"Zervos, Mihail"

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Number of items: 24.

Article

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

Book Section

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 Thu Aug 28 20:59:57 2014 BST.