Department of
Mathematics |

- M.H.A. Davis and M. Zervos (1994),
A Problem of Singular Stochastic Control with Discretionary Stopping,
*The Annals of Applied Probability*, vol.4, pp.226-240. - T.G. Koussiouris and M. Zervos (1994),
On the Solvability of Morgan's Problem (I): Necessary and Sufficient Conditions
for Decoupling by State Feedback and a Constant Singular Input Transformation,
*IMA Journal of Mathematical Control and Information*, vol.11, pp.93-110. - M.H.A. Davis and M. Zervos (1995),
A New Proof of the Discrete-Time LQG Optimal Control Theorems,
*IEEE Transactions on Automatic Control*, vol.49, pp.1450-1453. - M.H.A. Davis and M. Zervos (1998),
A Pair of Explicitly Solvable Singular Stochastic Control Problems,
*Applied Mathematics and Optimization*, vol.38, pp.327-352. - T.S. Knudsen, B. Meister and M. Zervos (1998),
Valuation of Investments in Real Assets with Implications for the Stock Prices,
*SIAM Journal on Control and Optimization*, vol.36, pp.2082-2102. - M. Zervos (1999),
On the Epiconvergence of Stochastic Optimization problems,
*Mathematics of Operations Research*, vol.24, pp.495-508. - T.S. Knudsen, B. Meister and M. Zervos (1999),
On the Relationship of the Dynamic Programming Approach and the Contingent
Claim Approach to Asset Valuation,
*Finance and Stochastics*, vol.3, pp.433-449. - K. Duckworth and M. Zervos (2000),
An Investment Model with Entry and Exit Decisions,
*Journal of Applied Probability*, vol.37, pp.547-559. - I. Karatzas, D. Ocone, H. Wang and M. Zervos (2000),
Finite-Fuel Singular Control with Discretionary Stopping,
*Stochastics and Stochastics Reports*, vol.71, pp.1-50. - K. Duckworth and M. Zervos (2001),
A Model for Investment Decisions with Switching Costs,
*The Annals of Applied Probability*, vol.11, pp.239-260. - R.R. Lumley and M. Zervos (2001),
A Model for Investments in the Natural Resource Industry with Switching Costs,
*Mathematics of Operations Research*, vol.26, pp.637-653. - D.C. Brody, J. Syroka and M. Zervos (2002),
Dynamical Pricing of Weather Derivatives,
*Quantitative Finance*, vol.2, pp.189-198. - M. Zervos (2003),
A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping,
*SIAM Journal on Control and Optimization*, vol.42, pp.397-421 ([PDF]). - A.L. Bronstein and M. Zervos (2006),
Sequential Entry and Exit Decisions with an Ergodic Performance Criterion,
*Stochastics: An International Journal of Probability and Stochastic Processes*, vol.78, pp.99-121 ([PDF]). - A. Jack and M. Zervos (2006),
Impulse Control of One-dimensional Itô Diffusions with an Expected and a
Pathwise Ergodic Criterion,
*Applied Mathematics and Optimization*, vol.54, pp.71-93 ([PDF]). - J.B. Lasserre, T. Prieto-Rumeau and M. Zervos (2006),
Pricing a Class of Exotic Options via Moments and SDP Relaxations,
*Mathematical Finance*, vol.16, pp.469-494 ([PDF]). - A. Jack and M. Zervos (2006),
A Singular Control Problem with an Expected and a Pathwise Ergodic Performance Criterion,
*Journal of Applied Mathematics and Stochastic Analysis*, vol.2006, Article ID 82538, pp.1-19 ([PDF]). - A.L. Bronstein, L.P. Hughston, M.R. Pistorius and M. Zervos (2006),
Discretionary Stopping of One-dimensional Itô Diffusions with a Staircase
Payoff Function,
*Journal of Applied Probability*, vol.43, pp.984-996 ([PDF]). - T.C. Johnson and M. Zervos (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*, vol.79, pp.363-382 ([PDF]). - A. Merhi and M. Zervos (2007),
A Model for Reversible Investment Capacity Expansion,
*SIAM Journal on Control and Optimization*, vol.46, pp.839-876 ([PDF]). - A. Lokka and M. Zervos (2008),
Optimal Dividend and Issuance of Equity Policies in the Presence of Proportional Costs,
*Insurance: Mathematics and Economics*, vol.42, pp.954-961 ([PDF]). - A. Jack, T.C. Jonhnson and M. Zervos (2008),
A Singular Control Problem with Application to the Goodwill Problem,
*Stochastic Processes and their Applications*, vol.118, pp.2098-2124 ([PDF]). - T.C. Johnson and M. Zervos (2010),
The Explicit Solution to a Sequential Switching Problem with Non-Smooth Data,
*Stochastics: An International Journal of Probability and Stochastic Processes*, vol.82, pp.69-109 ([PDF]). - X. Guo and M. Zervos (2010),
π Options,
*Stochastic Processes and their Applications*, vol.120, pp.1033-1059 ([PDF]). - A. Lokka and M. Zervos (2011),
A model for the long-term optimal capacity level of an investment project,
*International Journal of Theoretical & Applied Finance*, vol.14, pp.187-196 ([PDF]). - P.C. Lon and M. Zervos (2011),
A model for optimally advertising and launching a product,
*Mathematics of Operations Research*, vol.36, pp.363-376 ([PDF]). - D. Lamberton and M. Zervos (2013),
On the optimal stopping of a one-dimensional diffusion,
*Electronic Journal of Probability*, vol.18, pp.1-49 ([PDF]). - A.Lokka and M. Zervos (2013),
Long-term optimal investment strategies in the presence of adjustment costs,
*SIAM Journal on Control and Optimization*, vol.51, pp.996-1034 ([PDF]). - M. Zervos, T.C. Johnson and F. Alazemi (2013),
Buy-low and sell-high investment strategies,
*Mathematical Finance*, vol.23, pp.560-578 ([PDF]). - A. Gushchin, M. Urusov and M. Zervos (2014),
On the submartingale/supermartingale property of
diffusions in natural scale,
*Proceedings of the Steklov Institute of Mathematics*, vol.287, pp.122-132 ([PDF]). - D. Hernandez-Hernandez, R.S. Simon and M. Zervos (2015),
A zero-sum game between a singular stochastic controller and a discretionary stopper,
*The Annals of Applied Probability*, vol.25, pp.46-80 ([PDF]). - X. Guo and M. Zervos (2015),
Optimal execution with multiplicative price impact,
*SIAM Journal on Financial Mathematics*, vol.6, pp.281-306 ([PDF]). - N. Rodosthenous and M. Zervos (2017),
Watermark options,
*Finance and Stochastics*, vol.21, pp.157-186 ([PDF]). - M. Urusov and M. Zervos (2017),
Necessary and sufficient conditions for the r-excessive
local martingales to be martingales,
*Electronic Communications in Probability*, vol.22, paper no.10, pp.1-6 ([PDF]). - H. Al Motairi and M. Zervos (2017),
Irreversible capital accumulation with economic impact,
*Applied Mathematics and Optimization*, vol.75, pp.525-551 ([PDF]). - R.W. Anderson, M.C. Bustamante, S. Guibaud and M. Zervos (2017),
Agency, firm growth and managerial turnover,
*Journal of Finance*, forthcoming ([PDF]).

- L.P. Hughston and M. Zervos (2001),
Martingale Approach to Real Options,
in
*Disordered and Complex Systems*(P. Sollich, A.C.C. Coolen, L.P. Hughston and R.F. Streater, eds), American Institute of Physics, pp.325-330. - A. Jack and M. Zervos (2006),
Impulse and Absolutely Continuous Ergodic Control of One-dimensional Itô Diffusions,
in
*From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev*(Y. Kabanov, R. Liptser and J. Stoyanov, eds.), Springer, pp.295-314 ([PDF]). - E. Michael, M.N. Malecela, M. Zervos and J.W. Kazura (2008),
Global Eradication of Lymphatic Filariasis: the Value of Chronic Disease Control in
Parasite Elimination Programmes, PLoS ONE 3(8): e2936.doi:10.1371/journal.pone.0002936
- D. Melas and M. Zervos (2010),
An Ergodic Impulse Control Model with Applications,
in
*Modern Trends in Controlled Stochastic Processes: Theory and Applications*(A.B. Piunovskiy, ed), Luniver Press, pp.161-180 ([PDF]).

- T.G. Koussiouris and M. Zervos,
On the Determination of the Essential Orders and
the Zeros Structure at Infinity from the System Matrix,
*ECC91 European Control Conference*, Grenoble, France, pp.1781-1783, July 1991. - T.S. Knudsen, B. Meister and M. Zervos,
Valuation of Investments in Real Assets,
*37th IEEE Conference on Decision and Control*, Tampa, Florida, pp.2668-2673, 16-18 December 1998. - K. Duckworth and M. Zervos,
A Problem of Stochastic Impulse Control with Discretionary Stopping,
*39th IEEE Conference on Decision and Control*, Sydney, Australia, pp.222-227, 12-15 December 2000.