Oleksii Mostovyi

Most-cited papers

Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
Oleksii Mostovyi
2011Finance and Stochastics50 citations
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Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Huy N. Chau, Andrea Cosso, Claudio Fontana, Oleksii Mostovyi
2015Journal of Applied Probability28 citations Open access
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OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT
Oleksii Mostovyi
201127 citations Open access
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Sensitivity analysis of the utility maximisation problem with respect to model perturbations
Oleksii Mostovyi, Mihai Sîrbu
2017Finance and Stochastics20 citations Open access
Semantic Scholar
An expansion in the model space in the context of utility maximization
Kasper Larsen, Oleksii Mostovyi, Gordan Žitković
2014Finance and Stochastics13 citations Open access
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Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
Oleksii Mostovyi
2018Stochastic Processes and their Applications12 citations Open access
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UTILITY MAXIMIZATION IN A LARGE MARKET
Oleksii Mostovyi
20189 citations
Semantic Scholar
Optimal investment and consumption with labor income in incomplete markets
Oleksii Mostovyi, Mihai Sîrbu
2018The Annals of Applied Probability9 citations Open access
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On Maximum Speedup Ratio of Restart Algorithm Portfolios
Oleksii Mostovyi, O. Prokopyev, O. Shylo
2013INFORMS journal on computing8 citations
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On the stability the least squares Monte Carlo
Oleksii Mostovyi
2011Optimization Letters5 citations
Semantic Scholar
Pricing of contingent claims in large markets
Oleksii Mostovyi, Pietro Siorpaes
2024Finance and Stochastics3 citations
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Stability of the Epstein–Zin problem
M. Monoyios, Oleksii Mostovyi
2022Mathematical Finance3 citations Open access
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Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model
Oleksii Mostovyi, Mihai Sîrbu
2024Finance and Stochastics2 citations
Semantic Scholar
Fair pricing and hedging under small perturbations of the numéraire on a finite probability space
W. Busching, Delphine Hintz, Oleksii Mostovyi, A. Pozdnyakov
2022Involve. A Journal of Mathematics2 citations Open access
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Stability and asymptotic analysis of the Föllmer–Schweizer decomposition on a finite probability space
Sarah J. Boese, Tracy Cui, S. Johnston, G. Molino +1 more
2020Involve. A Journal of Mathematics2 citations Open access
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Utility maximization in the large markets
Oleksii Mostovyi
20142 citations
Semantic Scholar
Stability of the Indirect Utility Process
Oleksii Mostovyi
2020SIAM Journal on Financial Mathematics1 citations Open access
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Optimal consumption of multiple goods in incomplete markets
Oleksii Mostovyi
2017Journal of Applied Probability1 citations Open access
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High-Order Expansions of the Optimizer Map via Bell Polynomials
Oleksii Mostovyi, T. Zariphopoulou
20260 citations
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The Value of Partial Jump Information
Philip A. Ernst, Oleksii Mostovyi
2026Mathematics of Operations Research0 citations
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Representation of indifference prices on a finite probability space
J. Freitas, Joshua Huang, Oleksii Mostovyi
2025Involve. A Journal of Mathematics0 citations
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The value of partial information
Philip A. Ernst, Oleksii Mostovyi
20250 citations
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The indifference value of the weak information
Fabrice Baudoin, Oleksii Mostovyi
20240 citations
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The information premium on a finite probability space
J. Koerner, J. Lee, Oleksii Mostovyi
2024Missouri Journal of Mathematical Sciences0 citations
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Differentiation of measures on an arbitrary measurable space
Oleksii Mostovyi, Pietro Siorpaes
2023Journal of Mathematical Analysis and Applications0 citations Open access
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ON PERTURBATIONS OF PREFERENCES AND INDIFFERENCE PRICE INVARIANCE
Oleksii Mostovyi, A. Teplyaev
20230 citations
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Sensitivity analysis of the utility maximisation problem with respect to model perturbations
Oleksii Mostovyi, Mihai Sîrbu
2019Finance and Stochastics0 citations Open access
Semantic Scholar
Differentiation of measures on a non-separable space, and the Radon-Nikodym theorem
Oleksii Mostovyi, Pietro Siorpaes
20190 citations
Semantic Scholar
On the stability the least squares Monte Carlo
Oleksii Mostovyi
2011Optimization Letters0 citations
Semantic Scholar
A Note on the Stability of the Least Squares Monte Carlo
Oleksii Mostovyi
20110 citations
Semantic Scholar