Showing 1 - 20 results of 49 for search 'Pergamenshchikov, Serguei M.', query time: 0.04s Refine Results
  1. 1
    Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis
    Get full text
    Article
  2. 2
    Quickest change-point detection in time series with unknown distributions
    Get full text
    Book Chapter
  3. 3
    Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data
    Get full text
    Article
  4. 4
    Minimax and pointwise sequential changepoint detection and identification for general stochastic models
    Get full text
    Article
  5. 5
    Stochastic modelling for the financial markets lectures notes for the courses "Stochastic Modelling" and "Theory of the Random Processes" taken by most Mathematics students and Economics students (Directions of training 01.03.01 – Mathematics and 38.04.01 – Economics)
    by Pergamenshchikov, Serguei M.
    Published 2017
    Book
  6. 6
    Renewal theory and its applications lectures notes for the course "Stochastic modelling" taken by most Mathematics students and Economics students (directions of training 01.03.01 - Mathematics and 38.04.01 - Economics)
    by Pergamenshchikov, Serguei M.
    Published 2020
    Get full text
    eBook
  7. 7
    Sequential analysis and its applications lectures notes
    by Pergamenshchikov, Serguei M.
    Published 2022
    Get full text
    eBook
  8. 8
    Stochastic modeling for the financial markets lectures notes for the courses "Methods of optimization" and "Stochastic modeling" taken by most Mathematics students and Economics students (directions of training 01.03.01 - Mathematics and 38.04.01 – Economics)
    by Pergamenshchikov, Serguei M.
    Published 2018
    Book
  9. 9
    Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with power utility
    Other Authors: “...Pergamenshchikov, Serguei M....”
    Get full text
    Article
  10. 10
    Oracle inequalities for the stochastic differential equations
    Other Authors: “...Pergamenshchikov, Serguei M....”
    Get full text
    Article
  11. 11
    Approximate hedging with constant proportional transaction costs in financial markets with jumps
    Other Authors: “...Pergamenshchikov, Serguei M....”
    Get full text
    Article
  12. 12
    Model selection method for efficient signals processing from discrete data
    Other Authors: “...Pergamenshchikov, Serguei M....”
    Get full text
    Book Chapter
  13. 13
    Sharp oracle inequalities for drift estimation problems from discrete data
    Other Authors: “...Pergamenshchikov, Serguei M....”
    Get full text
    Book Chapter
  14. 14
    Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
    Other Authors: “...Pergamenshchikov, Serguei M....”
    Get full text
    Article
  15. 15
    Improved model selection method for an adaptive estimation in semimartingale regression models
    Other Authors: “...Pergamenshchikov, Serguei M....”
    Get full text
    Article
  16. 16
    In the insurance business risky investments are dangerous: the case of negative risk sums
    Other Authors: “...Pergamenshchikov, Serguei M....”
    Get full text
    Article
  17. 17
    Robust model selection for a semimartingale continuous time regression from discrete data
    Other Authors: “...Pergamenshchikov, Serguei M....”
    Get full text
    Article
  18. 18
    Approximate hedging problem with transaction costs in stochastic volatility markets
    Other Authors: “...Pergamenshchikov, Serguei M....”
    Get full text
    Article
  19. 19
    Optimal investment and consumption on financial markets for power utility functions
    Other Authors: “...Pergamenshchikov, Serguei M....”
    Get full text
    Book Chapter
  20. 20
    Nonparametric estimation for an autoregressive model
    Other Authors: “...Pergamenshchikov, Serguei M....”
    Get full text
    Article
Search Tools: Get RSS Feed