Mihai Sirbu
- Professor
- Mathematics
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), 17-40In Which Models do Mutual Fund Theorems Hold True? (with W. Schachermayer and E. Taflin) Finance and Stochastics, Vol 13 (2009), 49-77