Persons: Kabanov, Yurii Mikhailovich

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Kabanov, Yurii Mikhailovich

Total publications:	100 (98)
in MathSciNet:	93 (92)
in zbMATH:	83 (82)
in Web of Science:	50 (49)
in Scopus:	45 (44)
Cited articles:	77
Citations:	2242
Presentations:	12

Number of views:
This page:	6615
Abstract pages:	19095
Full texts:	7133
References:	1005

Professor

Doctor of physico-mathematical sciences (1985)

E-mail:

Website:

http://ykabanov.perso.math.cnrs.fr/page_kabanov_perso.htm

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https://scholar.google.com/citations?user=3HhvEUcAAAAJ&hl=en

https://zbmath.org/authors/ai:kabanov.yuri-m

https://mathscinet.ams.org/mathscinet/MRAuthorID/191981

https://elibrary.ru/author_items.asp?authorid=11411

ISTINA

https://istina.msu.ru/workers/92558756

https://www.scopus.com/authid/detail.url?authorId=7003276566

Full list of publications:

scientific publications

		Citations (Crossref Cited-By Service + Math-Net.Ru)


2023
1.	Yu. M. Kabanov, A. P. Sidorenko, “An axiomatic viewpoint on the Rogers–Veraart and Suzuki–Elsinger models of systemic risk”, Inform. i ee primen., 17:1 (2023), 11–17 ;

2021
2.	J. Grépat, Yuri Kabanov, “On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs”, Finance Stoch., 25:1 (2021), 167–187 ;	1 ^[x]
3.	Yu. M. Kabanov, “On Sets of Laws of Continuous Martingales”, Theory Probab. Appl., 65:4 (2021), 652–655

2018
4.	Yu. M. Kabanov, R. Mokbel, Kh. El Bitar, “Clearing in financial nteworks”, Theory Probab. Appl., 62:2 (2018), 252–277

2017
5.	Kh. El Bitar, Yu. Kabanov, R. Mokbel, “On uniqueness of clearing vectors reducing the systemic risk”, Inform. i eë primen., 11:1 (2017), 109–118	2 ^[x]
6.	Kh. El Bitar, Yu. Kabanov, R. Mokbel, “Dynamic models of systemic risk and contagion”, Inform. i eë primen., 11:2 (2017), 2–15

2016
7.	Yu. Kabanov, C. Kardaras, Sh. Song, “No arbitrage of the first kind and local martingale numéraires”, Finance Stoch., 20:4 (2016), 1097–1108	26 ^[x]
8.	D. De Vallière, Yu. Kabanov, E. Lépinette, “Consumption-investment problem with transaction costs for Lévy-driven price processes”, Finance Stoch., 20:3 (2016), 705–740	9 ^[x]
9.	Yu. Kabanov, S. Pergamenshchikov, “In the insurance business risky investments are dangerous: the case of negative risk sums”, Finance Stoch., 20:2 (2016), 355–379	27 ^[x]
10.	T. A. Belkina, Yu. M. Kabanov, “Viscosity solutions of integro-differential equations for nonruin probabilities”, Theory Probab. Appl., 60:4 (2016), 671–679
11.	Yu. M. Kabanov, A. N. Shiryaev, “Modern problems of financial mathematics”, Theory Probab. Appl., 60:4 (2016), 531–532

2015
12.	Yu. Kabanov, E. Lepinette, “On supremal and maximal sets with respect to random partial orders”, Set optimization and applications—the state of the art, Springer Proc. Math. Stat., 151, Springer, Heidelberg, 2015, 275–291	1 ^[x]

2013
13.	Yu. Kabanov, E. Lépinette, “Essential supremum and essential maximum with respect to random preference relations”, J. Math. Econom., 49:6 (2013), 488–495	10 ^[x]
14.	Yu. Kabanov, E. Lépinette, “Essential supremum with respect to a random partial order”, J. Math. Econom., 49:6 (2013), 478–487	21 ^[x]

2012
15.	Ju. Grépat, Yu. Kabanov, “Small transaction costs, absence of arbitrage and consistent price systems”, Finance Stoch., 16:3 (2012), 357–368	3 ^[x]
16.	E. Denis, Yu. Kabanov, “Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs”, Finance Stoch., 16:1 (2012), 135–154	18 ^[x]

2010
17.	E. Denis, Yu. Kabanov, “Mean square error for the Leland-Lott hedging strategy: convex pay-offs”, Finance Stoch., 14:4 (2010), 625–667	16 ^[x]

2009
18.	M. Gamys, Yu. Kabanov, “Mean square error for the Leland-Lott hedging strategy”, Recent advances in financial engineering, World Sci. Publ., Hackensack, NJ, 2009, 1–25
19.	Yu. Kabanov, M. Safarian, Markets with transaction costs, Springer Finance, Springer-Verlag, Berlin, 2009 , xiv+294 pp.
20.	D. De Vallière, E. Denis, Y. Kabanov, “Hedging of American options under transaction costs”, Finance Stoch., 13:1 (2009), 105–119	20 ^[x]

2008
21.	Yu. Kabanov, Ch. Stricker, “On martingale selectors of cone-valued processes”, Séminaire de Probabilités XLI, Lecture Notes in Math., 1934, Springer, Berlin, 2008, 439–442	10 ^[x]
22.	Yu. Kabanov, “In discrete time a local martingale is a martingale under an equivalent probability measure”, Finance Stoch., 12:3 (2008), 293–297	11 ^[x]

2007
23.	Yu. Kabanov, M. Kijima, S. Rinaz, “A positive interest rate model with sticky barrier”, Quant. Finance, 7:3 (2007), 269–284	9 ^[x]
24.	D. De Vallière, Yu. Kabanov, Ch. Stricker, “No-arbitrage criteria for financial markets with transaction costs and incomplete information”, Finance Stoch., 11:2 (2007), 237–251	8 ^[x]

2006
25.	Yu. Kabanov, Ch. Stricker, “The Dalang-Morton-Willinger theorem under delayed and restricted information”, In Memoriam Paul-AndrÉ Meyer: Séminaire de Probabilités XXXIX, Lecture Notes in Math., 1874, Springer, Berlin, 2006, 209–213	7 ^[x]
26.	Yu. Kabanov, Yu. Mishura, L. Sakhno, “Multiparameter generalizations of the Dalang-Morton-Willinger theorem”, From stochastic calculus to mathematical finance, Springer, Berlin, 2006, 333–341
27.	Yu. Kabanov, M. Kijima, “A consumption-investment problem with production possibilities”, From stochastic calculus to mathematical finance, Springer, Berlin, 2006, 315–332	1 ^[x]

2005
28.	Yu. Kabanov, Ch. Stricker, “Remarks on the true no-arbitrage property”, Séminaire de Probabilités XXXVIII, Lecture Notes in Math., 1857, Springer, Berlin, 2005, 186–194	7 ^[x]

2004
29.	J.-M. Courtault, F. Delbaen, Yu. Kabanov, Ch. Stricker, “On the law of one price”, Finance Stoch., 8:4 (2004), 525–530	3 ^[x]
30.	Yu. Kabanov, Cl. Klüppelberg, “A geometric approach to portfolio optimization in models with transaction costs”, Finance Stoch., 8:2 (2004), 207–227	17 ^[x]
31.	T. A. Belkina, Yu. M. Kabanov, E. L. Presman, “On a stochastic optimality of the feedback control in the LQG-problem”, Theory Probab. Appl., 48:4 (2004), 592–603

2003
32.	Yu. Kabanov, M. Rásonyi, Ch. Stricker, “On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property”, Finance Stoch., 7:3 (2003), 403–411	42 ^[x]
33.	Yu. Kabanov, Ch. Stricker, “On the true submartingale property, d'après Schachermayer”, Séminaire de Probabilités XXXVI, Lecture Notes in Math., 1801, Springer, Berlin, 2003, 413–414	1 ^[x]
34.	Yu. Kabanov, S. Pergamenshchikov, Two-scale stochastic systems, Applications of Mathematics (New York), 49, Springer-Verlag, Berlin, 2003 , xiv+266 pp.

2002
35.	Proc. Steklov Inst. Math., 237 (2002), 208–214
36.	Yu. M. Kabanov, Ch. Stricker, “Hedging of contingent claims under transaction costs”, Advances in finance and stochastics, Springer, Berlin, 2002, 125–136	24 ^[x]
37.	Yu. Kabanov, M. Rásonyi, Ch. Stricker, “No-arbitrage criteria for financial markets with efficient friction”, Finance Stoch., 6:3 (2002), 371–382	73 ^[x]
38.	A. Frolova, Yu. Kabanov, S. Pergamenshchikov, “In the insurance business risky investments are dangerous”, Finance Stoch., 6:2 (2002), 227–235	84 ^[x]
39.	Yu. M. Kabanov, Ch. Stricker, “On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper “Exponential hedging and entropic penalties” [Math. Finance 12 (2002), no. 2, 99–123; MR1891730 (2003b:91046)] by F. Delbaen, P. Grandits, T. Rheinländer, D. Samperi, M. Schweizer and C. Stricker”, Math. Finance, 12:2 (2002), 125–134	76 ^[x]
40.	Yu. M. Kabanov, G. Last, “Hedging under transaction costs in currency markets: a continuous-time model”, Math. Finance, 12:1 (2002), 63–70	46 ^[x]
41.	F. Delbaen, Yu. M. Kabanov, E. Valkeila, “Hedging under transaction costs in currency markets: a discrete-time model”, Math. Finance, 12:1 (2002), 45–61	22 ^[x]

2001
42.	B. Bouchard, Yu. M. Kabanov, N. Touzi, “Option pricing by large risk aversion utility under transaction costs”, Decis. Econ. Finance, 24:2 (2001), 127–136	24 ^[x]
43.	Yu. M. Kabanov, “Arbitrage theory”, Option pricing, interest rates and risk management, Handb. Math. Finance, Cambridge Univ. Press, Cambridge, 2001, 3–42
44.	Yu. Kabanov, Ch. Stricker, “A teachers' note on no-arbitrage criteria”, Séminaire de Probabilités XXXV, Lecture Notes in Math., 1755, Springer, Berlin, 2001, 149–152	69 ^[x]
45.	Yu. Kabanov, Ch. Stricker, “On equivalent martingale measures with bounded densities”, Séminaire de Probabilités XXXV, Lecture Notes in Math., 1755, Springer, Berlin, 2001, 139–148	19 ^[x]
46.	Yu. M. Kabanov, Ch. Stricker, “The Harrison-Pliska arbitrage pricing theorem under transaction costs”, J. Math. Econom., 35:2 (2001), 185–196	80 ^[x]

2000
47.	J.-M. Courtault, Yu. Kabanov, B. Bru, P. Crépel, I. Lebon, A. Le Marchand, “Louis Bachelier on the centenary of “Théorie de la spéculation””, Math. Finance, 10:3 (2000), 341–353	54 ^[x]

1999
48.	Yu. Kabanov, “Hedging and liquidation under transaction costs in currency markets”, Finance Stoch., 3:2 (1999), 237–248	157 ^[x]

1998
49.	Yu. M. Kabanov, D. O. Kramkov, “Asymptotic arbitrage in large financial markets”, Finance Stoch., 2:2 (1998), 143–172	68 ^[x]
50.	H. Föllmer, Yu. M. Kabanov, “Optional decomposition and Lagrange multipliers”, Finance Stoch., 2:1 (1998), 69–81

1997
51.	T. Björk, G. Di Masi, Yu. Kabanov, W. Runggaldier, “Towards a general theory of bond markets”, Finance Stoch., 1:2 (1997), 141–174	118 ^[x]
52.	Yu. M. Kabanov, “On the FTAP of Kreps-Delbaen-Schachermayer”, Statistics and control of stochastic processes (Moscow, 1995/1996), World Sci. Publ., River Edge, NJ, 1997, 191–203
53.	Yu. M. Kabanov, “On the Pontryagin maximum principle for SDEs with a Poisson-type driving noise”, Statistics and control of stochastic processes (Moscow, 1995/1996), World Sci. Publ., River Edge, NJ, 1997, 173–190
54.	T. Björk, Yu. Kabanov, W. Runggaldier, “Bond market structure in the presence of marked point processes”, Math. Finance, 7:2 (1997), 211–239	199 ^[x]
55.	Yu. Kabanov, S. Pergamenshchikov, “On convergence of attainability sets for controlled two-scale stochastic linear systems”, SIAM J. Control Optim., 35:1 (1997), 134–159	5 ^[x]
56.	Yu. Kabanov, M. Safarian, “On Leland's strategy of option pricing with transaction costs”, Finance Stoch., 1:3 (1997), 239–250	66 ^[x]

1996
57.	Yu. M. Kabanov, W. J. Runggaldier, “On control of two-scale stochastic systems with linear dynamics in the fast variables”, Math. Control Signals Systems, 9:2 (1996), 107–122	5 ^[x]

1995
58.	Yu. M. Kabanov, S. M. Pergamenshchikov, “Large deviations for solutions of singularly perturbed stochastic differential equations”, Russian Math. Surveys, 50:5 (1995), 989–13
59.	G. L. Arsenishvili, Yu. M. Kabanov, “On a closed queueing system”, Soobshch. Akad. Nauk Gruzii, 152:3 (1995), 465–469 (1996)
60.	G. B. Di Masi, Yu. M. Kabanov, “A first order approximation for the convergence of distributions of the Cox processes with fast Markov switchings”, Stochastics Stochastics Rep., 54:3-4 (1995), 211–219	14 ^[x]

1994
61.	Yu. M. Kabanov, D. O. Kramkov, “No-arbitrage and equivalent martingale measures: an elementary proof of the Harrison–Pliska theorem”, Theory Probab. Appl., 39:3 (1994), 523–527
62.	Yu. M. Kabanov, D. O. Kramkov, “Large financial markets: asymptotic arbitrage and contiguity”, Theory Probab. Appl., 39:1 (1994), 182–187
63.	G. B. Di Masi, Yu. M. Kabanov, W. J. Runggaldier, “Mean-variance Hedging of options on stocks with Markov volatilities”, Theory Probab. Appl., 39:1 (1994), 172–182
64.	A. N. Shiryaev, Yu. M. Kabanov, D. O. Kramkov, A. V. Melnikov, “Toward the theory of pricing of options of both European and American types. II. Continuous time”, Theory Probab. Appl., 39:1 (1994), 61–102
65.	A. N. Shiryaev, Yu. M. Kabanov, D. O. Kramkov, A. V. Melnikov, “Toward the theory of pricing of options of both European and American types. I. Discrete time”, Theory Probab. Appl., 39:1 (1994), 14–60

1993
66.	G. B. Di Masi, Yu. M. Kabanov, “The strong convergence of two-scale stochastic systems and singular perturbations of filtering equations”, J. Math. Systems Estim. Control, 3:2 (1993), 207–224
67.	Yu. M. Kabanov, “On the Probabilistic Representation of a Solution of the Telegraph Equation”, Theory Probab. Appl., 37:2 (1993), 379–380

1991
68.	Yu. M. Kabanov, S. M. Pergamenshchikov, “Sets of accesibility for controlled stochastic differential equations”, Russian Math. Surveys, 46:1 (1991), 251–252
69.	Yu. M. Kabanov, S. M. Pergamenshchikov, J. M. Stoyanov, “Asymptotic expansions for singularly perturbed stochastic differential equations”, New trends in probability and statistics (Bakuriani, 1990), v. 1, VSP, Utrecht, 1991, 413–435
70.	Yu. M. Kabanov, S. M. Pergamenshchikov, “On optimal control of singularly perturbed stochastic differential equations”, Modeling, estimation and control of systems with uncertainty (Sopron, 1990), Progr. Systems Control Theory, 10, Birkhäuser Boston, Boston, MA, 1991, 200–209
71.	Yu. M. Kabanov, S. M. Pergamenshchikov, “Optimal control of singularly perturbed stochastic linear systems”, Stochastics Stochastics Rep., 36:2 (1991), 109–135	8 ^[x]

1992
72.	Yu. M. Kabanov, S. M. Pergamenshchikov, “Singular perturbations of stochastic differential equations”, Math. USSR-Sb., 71:1 (1992), 15–27

1990
73.	Yu. M. Kabanov, S. M. Pergamenshchikov, “Singularly perturbed stochastic equations and partial differential equations”, Dokl. Math., 41:2 (1990), 328–331

1988
74.	Yu. M. Kabanov, “Contiguity of distributions of multivariate point processes”, Probability theory and mathematical statistics (Kyoto, 1986), Lecture Notes in Math., 1299, Springer, Berlin, 1988, 140–157	2 ^[x]

1986
75.	Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “On the variation distance for probability measures defined on a filtered space”, Probab. Theory Relat. Fields, 71:1 (1986), 19–35	25 ^[x]
76.	Yu. M. Kabanov, “An estimate of the variation distance between probability measures”, Theory Probab. Appl., 30:2 (1986), 413–417

1984
77.	Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “Estimates of closeness in variation of probability measures”, Dokl. Akad. Nauk SSSR, 278:2 (1984), 265–268
78.	Yu. M. Kabanov, R. Š. Lipcer, A. N. Širyaev, “Weak and strong convergence of distributions of counting processes”, Theory Probab. Appl., 28:2 (1984), 303–336

1983
79.	Yu. M. Kabanov, R. Sh. Liptser, “On convergence in variation of the distributions of multivariate point processes”, Z. Wahrsch. Verw. Gebiete, 63:4 (1983), 475–485	13 ^[x]

1984
80.	Yu. M. Kabanov, “On the existence of a solution in a problem of controlling a counting process”, Math. USSR-Sb., 47:2 (1984), 425–438

1982
81.	Yu. M. Kabanov, “On the rate of convergence of distributions of counting processes to the distribution of a counting process with independent increments”, Dokl. Akad. Nauk SSSR, 264:5 (1982), 1052–1056

1980
82.	I. V. Evstigneev, Yu. M. Kabanov, “A probabilistic modification of the von Neumann–Gale model”, Russian Math. Surveys, 35:4 (1980), 167–168

1981
83.	Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “On the representation of integral-valued random measures and local martingales by means of random measures with deterministic compensators”, Math. USSR-Sb., 39:2 (1981), 267–280

1980
84.	Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryayev, “On absolute continuity of probability measures for Markov-Itô processes”, Stochastic Differential Systems, Proc. IFIP-WG 7/1 Working Conf. (Vilnius, 1978), Lecture Notes in Control and Information Sci., 25, Springer, Berlin–New York, 1980, 114–128	4 ^[x]
85.	Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “Some limit theorems for simple point processes (a martingale approach)”, Stochastics, 3:3 (1980), 203–216	24 ^[x]
86.	Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “Absolute continuity and singularity of locally absolutely continuous probability distributions. II”, Math. USSR-Sb., 36:1 (1980), 31–58

1979
87.	Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “Absolute continuity and singularity of locally absolutely continuous probability distributions. I”, Math. USSR-Sb., 35:5 (1979), 631–680

1978
88.	Yu. M. Kabanov, “The capacity of a Poisson type channel”, Theory Probab. Appl., 23:1 (1978), 143–147
89.	Yu. Kabanov, R. Liptser, A. Shiryaev, “Necessary and sufficient conditions for absolute continuity of measures corresponding to point (counting) processes”, Proceedings of the International Symposium on Stochastic Differential Equations (Res. Inst. Math. Sci., Kyoto Univ., Kyoto, 1976), Wiley, New York–Chichester–Brisbane, 1978, 111–126

1977
90.	Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “On the question of absolute continuity and singularity of probability measures”, Math. USSR-Sb., 33:2 (1977), 203–221
91.	Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, ““Predictable” criteria for absolute continuity and singularity of probability measures (the continuous time case)”, Dokl. Akad. Nauk SSSR, 237:5 (1977), 1016–1019

1976
92.	Yu. M. Kabanov, R. Š. Lipcer, A. N. Širyaev, “Criteria of absolute continuity of measures corresponding to multivariate point processes”, Proceedings of the Third Japan-USSR Symposium on Probability Theory (Tashkent, 1975), Lecture Notes in Math., 550, Springer, Berlin, 1976, 232–252	8 ^[x]
93.	Yu. M. Kabanov, “On extended stochastic integrals”, Theory Probab. Appl., 20:4 (1976), 710–722

1975
94.	Yu.M. Kabanov, R.Sh. Liptser, A.N. Shiryaev, “Martingalnye metody v teorii tochechnykh protsessov”, Trudy shkoly-seminara po teorii sluchainykh protsessov (Druskininkai, 1974) (Druskininkai, 1974), II, In-t fiz. i matem. AN Lit. SSR, Vilnyus, 1975, 269–354

1974
95.	Yu. M. Kabanov, “A generalized Itô formula for an extended stochastic integral with respect to Poisson random measure”, Uspekhi Mat. Nauk, 29:4(178) (1974), 167–168

1975
96.	Yu. M. Kabanov, “Integral representation for functionals of processes with independent increments”, Theory Probab. Appl., 19:4 (1975), 853–857

1974
97.	Yu. M. Kabanov, A. V. Skorokhod, “Rasshirennye stokhasticheskie integraly”, Trudy shkoly-seminara po teorii sluchainykh protsessov (Druskininkai, 1974) (Druskininkai, 1974)), I, In-t fiz. i matem. AN Lit. SSR, Vilnyus, 1974, 123–167

1973
98.	Yu. M. Kabanov, “Representation of Functionals of Wiener and Poisson Processes in the Form of Stochastic Integrals”, Theory Probab. Appl., 18:2 (1973), 362–365

Presentations in Math-Net.Ru

1.	Models of financial markets with small transaction costs Yu. M. Kabanov Principle Seminar of the Department of Probability Theory, Moscow State University September 26, 2018 16:45
2.	Критерии арбитража или о пользе геометрического функционального анализа в финансовой математике Yu. M. Kabanov Seminar on Theory of Functions of Real Variables March 30, 2018 18:30
3.	On a ruin problem for an insurance company investing reserves in the risky actives Yu. M. Kabanov Principle Seminar of the Department of Probability Theory, Moscow State University March 14, 2018
4.	Some aspects of systemic risk Yu. Kabanov Workshop A. Novikov-70 «Stochastic Methods in Finance and Statistics» December 28, 2015 14:45
5.	The arbitrage theory: finishing touches. Lecture 4 Yu. M. Kabanov School on Stochastics and Financial Mathematics September 8, 2015 15:30
6.	The arbitrage theory: finishing touches. Lecture 3 Yu. M. Kabanov School on Stochastics and Financial Mathematics September 8, 2015 14:30
7.	The arbitrage theory: finishing touches. Lecture 2 Yu. M. Kabanov School on Stochastics and Financial Mathematics September 7, 2015 15:30
8.	The arbitrage theory: finishing touches. Lecture 1 Yu. M. Kabanov School on Stochastics and Financial Mathematics September 7, 2015 14:30
9.	Absolute continuity of measures, the Girsanov theorem, and Hellinger processes Yu. M. Kabanov Conference "Stochastics, Statistics, Financial Mathematics" in honor of Professor Albert Shiryaev's 80th anniversary October 13, 2014 10:45
10.	Opening V. V. Kozlov, Yu. M. Kabanov Conference "Stochastics, Statistics, Financial Mathematics" in honor of Professor Albert Shiryaev's 80th anniversary October 13, 2014 09:30
11.	On essential supremum and essential maximum with respect to random partial orders with applications to hedging Youri Kabanov International conference "Advanced Finance and Stochastics" June 27, 2013 15:00
12.	Mathematical finance and mathematics from finance Yu. Kabanov International Symposium "Visions in Stochastics (Leaders and their Pupils)" November 1, 2010 11:00

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