Mihai Sirbu

  • Professor
  • Mathematics
Profile image of Mihai Sirbu

Contact Information

Biography

Mihai Sîrbu is a Professor of Mathematics at the University of Texas at Austin, specializing in Mathematical Finance and Applied Probability. He earned his Ph.D. from Carnegie Mellon University in 2004.

Sîrbu's research interests include stochastic control, stochastic analysis, and financial mathematics.

He is an active member of the Mathematical Finance Group at UT Austin.

Research

Mathematical Finance and Applied Probability

Mathematical Interests: Stochastic Control and Stochastic Analysis, Financial Mathematics

Mathematical Finance Group
http://www.ma.utexas.edu/Seminars/MathFin/

Research Areas

  • Mathematics

Fields of Interest

  • Probability and Statistics

Education

  • Ph.D., Carnegie Mellon University (2004)

Publications

  • Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games (with E. Bayraktar) to appear in Proceedings of the American Mathematical Society

    Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case (with E. Bayraktar) Proceedings of the American Mathematical Society, Vol. 140 (2012), 3645-3654

    Optimal investment with high-watermark performance fee (with K. Janeček), SIAM Journal on Control and Optimization, Vol. 50, No. 2 (2012), 790-819

    A note on admissibility when the credit line is infinite (with S. Biagini) Stochastics, Vol. 84, No. 2-3 (2012), 157-169

    Optimal investment on finite horizon with random discrete order flow in illiquid markets (with P. Gassiat and P. Pham)
    the International Journal of Theoretical and Applied Finance, Vol 14, No. 1 (2011), 17-40

    In Which Models do Mutual Fund Theorems Hold True? (with W. Schachermayer and E. Taflin) Finance and Stochastics, Vol 13 (2009), 49-77

    http://math.utexas.edu/users/sirbu/publications.html