Mihai Sîrbu

Publication Activity (10 Years)

Years Active: 2001-2020
Publications (10 Years): 3

Top Topics

Transaction Costs

Stochastic Games

Diffusion Models

Robust Image Watermarking

Top Venues

SIAM J. Control. Optim.

SIAM J. Financial Math.

Publications

Karel Janecek, Zheng Li, Mihai Sîrbu
Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model. SIAM J. Financial Math. 11 (3) (2020)
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) (2018)
Mihai Sîrbu
Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control. SIAM J. Control. Optim. 53 (4) (2015)
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) (2014)
Mihai Sîrbu
Stochastic Perron's Method and Elementary Strategies for Zero-Sum Differential Games. SIAM J. Control. Optim. 52 (3) (2014)
Erhan Bayraktar, Mihai Sîrbu
Stochastic Perron's Method for Hamilton-Jacobi-Bellman Equations. SIAM J. Control. Optim. 51 (6) (2013)
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) (2013)
Karel Janecek, Mihai Sîrbu
Optimal Investment with High-watermark Performance Fee. SIAM J. Control. Optim. 50 (2) (2012)
Erhan Bayraktar, Mihai Sîrbu
Stochastic Perron's method for Hamilton-Jacobi-Bellman equations CoRR (2012)
Erhan Bayraktar, Mihai Sîrbu
Probabilistic Perron's method and verification without smoothness using viscosity comparison: the linear case CoRR (2011)
Walter Schachermayer, Mihai Sîrbu, Erik Taflin
In which financial markets do mutual fund theorems hold true? Finance Stochastics 13 (1) (2009)
Mihai Sîrbu, Steven E. Shreve
A Two-Person Game for Pricing Convertible Bonds. SIAM J. Control. Optim. 45 (4) (2006)
Mihai Sîrbu, Igor Pikovsky, Steven E. Shreve
Perpetual Convertible Bonds. SIAM J. Control. Optim. 43 (1) (2004)
Mihai Sîrbu, Gianmario Tessitore
Null controllability of an infinite dimensional SDE with state- and control-dependent noise. Syst. Control. Lett. 44 (5) (2001)