Oleksii Mostovyi

    Assistant Professor
    Department of Mathematics
    University of Connecticut

    Contact Information:
    University of Connecticut
    Department of Mathematics
    U1009
    341 Mansfield Road
    Storrs, CT 06269-1009
        Phone: 1(860)486-6322 (office)
        Fax: 1(860)486-4238
        E-mail: oleksii.mostovyi@uconn.edu


 
Working papers
  • Optimal Investment and Consumption with Labor Income in Incomplete Markets
  • with M. Sîrbu, preprint. [arXiv]

  • Asymptotic Analysis of the Expected Utility Maximization Problem with Respect to Perturbations of the Numéraire
  • preprint. [arXiv]

  • Sensitivity Analysis of the Utility Maximization Problem with Respect to Model Perturbations
  • with M. Sîrbu, preprint. [arXiv]
Published/accepted papers
  • Optimal Consumption of Multiple Goods in Incomplete Markets
  • accepted in Journal of Applied Probability (2018). [arXiv]

  • An Expansion in the Model Space in the Context of Utility Maximization
  • with K. Larsen and G. Žitković, Finance and Stochastics (2018), Vol. 22(2), pp. 297-326. [arXiv]

  • Utility Maximization in a Large Market
  • Mathematical Finance (2018), Vol. 28(1): pp. 106-118. [arXiv]

  • Optimal Investment with Intermediate Consumption under No Unbounded Profit with Bounded Risk
  • with H. Chau, A. Cosso, and C. Fontana, Journal of Applied Probability (2017), Vol. 54(3), pp. 710-719. [arXiv]

  • Optimal Investment with Intermediate Consumption and Random Endowment
  • Mathematical Finance (2017), Vol. 27(1), pp. 96-114. [arXiv]

  • Necessary and Sufficient Conditions in the Problem of Optimal Investment with Intermediate Consumption
  • Finance and Stochastics (2015), Vol. 19(1), pp. 135-159. [arXiv]

  • On the Stability of the Least Squares Monte Carlo
  • Optimization Letters (2013), Vol. 7(2), pp. 259-265. [arXiv]

  • On Maximum Speedup Ratio of Restart Algorithms Portfolios
  • with O. Prokopyev and O. Shylo, INFORMS Journal on Computing (2013) Vol. 25(2), pp. 222-229.

  • Signal Processing under Active Monitoring
  • Information Theories and Applications (2005) Vol. 12, pp. 49-56.