LSE creators

Number of items: 34.
2025
  • Liang, Gechun, Liu, Zhesheng, Zervos, Mihail (2025). Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem. SIAM Journal on Control and Optimization, 63(3), 2029 - 2052. https://doi.org/10.1137/24m1700235 picture_as_pdf
  • Liu, Zhesheng, Zervos, Mihail (2025). The solution to an impulse control problem motivated by optimal harvesting. Journal of Mathematical Analysis and Applications, 542(1). https://doi.org/10.1016/j.jmaa.2024.128809 picture_as_pdf
    • 2023
  • Kladívko, Kamil, Zervos, Mihail (2023). Mean-variance hedging of contingent claims with random maturity. Mathematical Finance, https://doi.org/10.1111/mafi.12411 picture_as_pdf
    • 2019
  • Zervos, Mihail, Rodosthenous, Neofytos, Lon, Pui Chan, Bernhardt, Thomas (2019). Discretionary stopping of stochastic differential equations with generalised drift. Electronic Journal of Probability, 24, 1 - 39. https://doi.org/10.1214/19-EJP377 picture_as_pdf
    • 2018
  • Zervos, Mihail, Oliveira, Carlos, Duckworth, Kate (2018). An investment model with switching costs and the option to abandon. Mathematical Methods of Operations Research, 88(3), 417-443. https://doi.org/10.1007/s00186-018-0641-5
  • Anderson, Ronald W., Bustamante, Maria Cecilia, Guibaud, Stéphane, Zervos, Mihail (2018). Agency, firm growth, and managerial turnover. Journal of Finance, 73(1), 419 - 464. https://doi.org/10.1111/jofi.12583
    • 2017
  • Al Motairi, Hessah, Zervos, Mihail (2017). Irreversible capital accumulation with economic impact. Applied Mathematics and Optimization, 75(3), 525-551. https://doi.org/10.1007/s00245-016-9341-9
  • Urusov, Mikhail, Zervos, Mihail (2017). Necessary and sufficient conditions for the r-excessive local martingales to be martingales. Electronic Communications in Probability, 22(10), 1-6. https://doi.org/10.1214/17-ECP42
  • Rodosthenous, Neofytos, Zervos, Mihail (2017). Watermark options. Finance and Stochastics, 21(1), 157-186. https://doi.org/10.1007/s00780-016-0319-x
    • 2015
  • Guo, Xin, Zervos, Mihail (2015). Optimal execution with multiplicative price impact. SIAM Journal on Financial Mathematics, 6(1), 281-306. https://doi.org/10.1137/120894622
  • Hernandez-Hernandez, Daniel, Simon, Robert, Zervos, Mihail (2015). A zero-sum game between a singular stochastic controller and a discretionary stopper. Annals of Applied Probability, 25(1), 46-80. https://doi.org/10.1214/13-AAP986
    • 2013
  • Zervos, Mihail, Johnson, Timothy C., Alazemi, Fares (2013). Buy-low and sell-high investment strategies. Mathematical Finance, 23(3), 560-578. https://doi.org/10.1111/j.1467-9965.2011.00508.x
  • Lamberton, Damien, Zervos, Mihail (2013). On the optimal stopping of a one-dimensional diffusion. Electronic Journal of Probability, 18, p. 34. https://doi.org/10.1214/EJP.v18-2182
  • Lokka, Arne, Zervos, Mihail (2013). Long-term optimal investment strategies in the presence of adjustment costs. SIAM Journal on Control and Optimization, 51(2), 996-1034. https://doi.org/10.1137/110845471
    • 2011
  • Lon, Pui Chan, Zervos, Mihail (2011). A model for optimally advertising and launching a product. Mathematics of Operations Research, 36(2), 363-376. https://doi.org/10.1287/moor.1110.0487
  • Lokka, A., 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. https://doi.org/10.1142/S0219024911006322
    • 2010
  • Melas, Dimitris, Zervos, Mihail (2010). An ergodic impulse control model with applications. In Piunovskiy, Alexey (Ed.), Modern Trends in Controlled Stochastic Processes: Theory and Application (pp. 161-181). Luniver Press.
  • Guo, Xin, Zervos, Mihail (2010). Pi options. Stochastic Processes and Their Applications, 120(7), 1033-1059. https://doi.org/10.1016/j.spa.2010.02.008
  • Johnson, Timothy C., 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), 69-109. https://doi.org/10.1080/17442500903106606
    • 2008
  • Jack, Andrew, Johnson, Timothy, Zervos, Mihail (2008). A singular control model with application to the goodwill problem. Stochastic Processes and Their Applications, 118(11), 2098-2124. https://doi.org/10.1016/j.spa.2008.01.001
  • Michael, Edwin, Malecela, Mwele, Zervos, Mihail, Kazura, James (2008). Global eradication of lymphatic filariasis: the value of chronic disease control in parasite elimination programmes. PLOS ONE, 3(8). https://doi.org/10.1371/journal.pone.0002936
  • Lokka, A., Zervos, Mihail (2008). Optimal dividend and issuance of equity policies in the presence of proportional costs. Insurance: Mathematics and Economics, 42(3), 954-961. https://doi.org/10.1016/j.insmatheco.2007.10.013
    • 2007
  • Merhi, A, Zervos, Mihail (2007). A model for reversible investment capacity expansion. SIAM Journal on Control and Optimization, 46(3), 839-876. https://doi.org/10.1137/050640758
  • 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), 363-382. https://doi.org/10.1080/17442500601100281
    • 2006
  • Zervos, Mihail, Bronstein, Anne Laure, Hughston, Lane P, Pistorius, Martijn R (2006). Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function. Journal of Applied Probability, 43(4), 984-996. https://doi.org/10.1239/jap/1165505201
  • Jack, Andrew, Zervos, Mihail (2006). Impulse and absolutely continuous ergodic control of one-dimensional Ito diffusions. In Kabanov, Yu, Lipster, R., Stoyanov, J. (Eds.), From Stochastic Calculus to Mathematical Finance: the Shiryaev Festschrift (pp. 295-314). Springer Berlin / Heidelberg.
  • Jack, Andrew, Zervos, Mihail (2006). Impulse control of one-dimensional Itô diffusions with an expected and a pathwise ergodic criterion. Applied Mathematics and Optimization, 54(1), 71-93. https://doi.org/10.1007/s00245-005-0853-y
  • Zervos, Mihail, Lasserre, Jean Bernard, Prieto-Rumeau, T (2006). Pricing a class of exotic options via moments and SDP relaxations. Mathematical Finance, 16(3), 429-494. https://doi.org/10.1111/j.1467-9965.2006.00279.x
  • Zervos, Mihail, Bronstein, A L (2006). Sequential entry and exit decisions with an ergodic performance criterion. Stochastics, 78(2), 99-121. https://doi.org/10.1080/17442500600715840
  • Zervos, Mihail, Jack, Andrew (2006). A singular control problem with an expected and a pathwise ergodicperformance criterion. Journal of Applied Mathematics and Stochastic Analysis, 2006(82538), 1-19. https://doi.org/10.1155/JAMSA/2006/82538
    • 2003
  • Zervos, Mihail (2003). A problem of sequential entry and exit decisions combined with discretionary stopping. SIAM Journal on Control and Optimization, 42(2), 397-421. https://doi.org/10.1137/S036301290038111X
    • 2002
  • Brody, Dorje C., Syroka, Joanna, Zervos, Mihail (2002). Dynamical pricing of weather derivatives. Quantitative Finance, 2(3), 189-198. https://doi.org/10.1088/1469-7688/2/3/302
    • 2001
  • Lumley, Richard R., Zervos, Mihail (2001). A model for investments in the natural resource industry with switching costs. Mathematics of Operations Research, 26(4), 637-653. https://doi.org/10.1287/moor.26.4.637.10008
  • Duckworth, Kate, Zervos, Mihail (2001). A model for investment decisions with switching costs. Annals of Applied Probability, 11(1), 239-260. https://doi.org/10.1214/aoap/998926992