Mihai Sirbu, Ph.D.
Affiliations: | 2004 | Carnegie Mellon University, Pittsburgh, PA |
Area:
MathematicsGoogle:
"Mihai Sirbu"Parents
Sign in to add mentor| Steven E. Shreve | grad student | 2004 | Carnegie Mellon | |
| (A two-person game for pricing convertible bonds.) | ||||
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Publications
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| Mostovyi O, Sîrbu M. (2020) Optimal investment and consumption with labor income in incomplete markets Annals of Applied Probability. 30: 747-787 |
| Janeček K, Li Z, Sîrbu M. (2020) Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model Siam Journal On Financial Mathematics. 11: 750-787 |
| Barbu V, Sîrbu M. (2019) A dual representation result for value functions in stochastic control of infinite dimensional groups Topological Methods in Nonlinear Analysis. 54: 907-916 |
| Hernández-Hernández D, Sîrbu M. (2018) Zero-Sum Stochastic Differential Games Without the Isaacs Condition: Random Rules of Priority and Intermediate Hamiltonians Siam Journal On Control and Optimization. 56: 2095-2119 |
| Sîrbu M. (2015) Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control Siam Journal On Control and Optimization. 53: 1713-1733 |
| Sirbu M. (2014) A note on the strong formulation of stochastic control problems with model uncertainty Electronic Communications in Probability. 19: 1-10 |
| Sîrbu M. (2014) On Martingale Problems with Continuous-Time Mixing and Values of Zero-Sum Games without the Isaacs Condition Siam Journal On Control and Optimization. 52: 2877-2890 |
| Sîrbu M. (2014) Stochastic Perron's method and elementary strategies for zero-sum differential games Siam Journal On Control and Optimization. 52: 1693-1711 |
| Bayraktar E, Ŝirbu M. (2013) Stochastic perron's method for hamilton-jacobi-bellman equations Siam Journal On Control and Optimization. 51: 4274-4294 |
| Choi JH, Sirbu M, Zitkovic G. (2013) Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs Siam Journal On Control and Optimization. 51: 4414-4449 |