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ORCIDMihai Sîrbu
Person information
- affiliation: Department of Mathematics, Carnegie Mellon University, Pittsburgh, USA
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Journal Articles
- 2020
[j12]Karel Janecek, Zheng Li
, Mihai Sîrbu:
Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model. SIAM J. Financial Math. 11(3): 750-787 (2020)- 2018
- [j11]Daniel Hernández-Hernández, Mihai Sîrbu:
Zero-Sum Stochastic Differential Games Without the Isaacs Condition: Random Rules of Priority and Intermediate Hamiltonians. SIAM J. Control. Optim. 56(3): 2095-2119 (2018) - 2015
- [j10]Mihai Sîrbu:
Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control. SIAM J. Control. Optim. 53(4): 1713-1733 (2015) - 2014
- [j9]Mihai Sîrbu:
Stochastic Perron's Method and Elementary Strategies for Zero-Sum Differential Games. SIAM J. Control. Optim. 52(3): 1693-1711 (2014) - [j8]Mihai Sîrbu:
On Martingale Problems with Continuous-Time Mixing and Values of Zero-Sum Games without the Isaacs Condition. SIAM J. Control. Optim. 52(5): 2877-2890 (2014) - 2013
- [j7]Erhan Bayraktar, Mihai Sîrbu:
Stochastic Perron's Method for Hamilton-Jacobi-Bellman Equations. SIAM J. Control. Optim. 51(6): 4274-4294 (2013) - [j6]Jin Hyuk Choi, Mihai Sîrbu, Gordan Zitkovic:
Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs. SIAM J. Control. Optim. 51(6): 4414-4449 (2013) - 2012
- [j5]Karel Janecek, Mihai Sîrbu:
Optimal Investment with High-watermark Performance Fee. SIAM J. Control. Optim. 50(2): 790-819 (2012) - 2009
- [j4]Walter Schachermayer, Mihai Sîrbu, Erik Taflin:
In which financial markets do mutual fund theorems hold true? Finance Stochastics 13(1): 49-77 (2009) - 2006
- [j3]Mihai Sîrbu, Steven E. Shreve:
A Two-Person Game for Pricing Convertible Bonds. SIAM J. Control. Optim. 45(4): 1508-1539 (2006) - 2004
- [j2]Mihai Sîrbu, Igor Pikovsky, Steven E. Shreve:
Perpetual Convertible Bonds. SIAM J. Control. Optim. 43(1): 58-85 (2004) - 2001
- [j1]Mihai Sîrbu, Gianmario Tessitore:
Null controllability of an infinite dimensional SDE with state- and control-dependent noise. Syst. Control. Lett. 44(5): 385-394 (2001)
Informal and Other Publications
- 2012
- [i2]Erhan Bayraktar, Mihai Sîrbu:
Stochastic Perron's method for Hamilton-Jacobi-Bellman equations. CoRR abs/1212.2170 (2012) - 2011
- [i1]Erhan Bayraktar, Mihai Sîrbu:
Probabilistic Perron's method and verification without smoothness using viscosity comparison: the linear case. CoRR abs/1103.0538 (2011)
Coauthor Index
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