Электронная библиотека (репозиторий) Томского государственного университета
Pergamenshchikov, Serguei M.

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Type: учебные издания
Date: 2020
Description: The goal of the course is to study the main tools of the renewal theory and their applications to some problems of the actuarial analysis for insurance companies in the framework of the Cremer - Lundb ... More
Source: Advances in electrical and electronic engineering. 2019. Vol. 17, № 3. P. 270-274
Type: статьи в журналах
Date: 2019
Description: In this paper, we consider the problem of robust adaptive efficient estimating a periodic signal observed in the transmission channel with the dependent noise defined by non-Gaussian Ornstein-Uhlenbec ... More
Source: Journal of multivariate analysis. 2019. Vol. 174. P. 104541 (1-20)
Type: статьи в журналах
Date: 2019
Description: A weighted Shiryaev–Roberts change detection procedure is shown to approximately minimize the expected delay to detection as well as higher moments of the detection delay among all change-point detect ... More
Source: Вестник Томского государственного университета. Математика и механика. 2019. № 58. С. 14-31
Type: статьи в журналах
Date: 2019
Description: This paper considers the problem of robust adaptive efficient estimating of a periodic function in a continuous time regression model with the dependent noises given by a general square integrable sem ... More
Source: Journal of nonparametric statistics. 2019. Vol. 31, № 3. P. 612-628
Type: статьи в журналах
Date: 2019
Description: In this paper, we develop the James–Stein improved method for the estimation problem of a nonparametric periodic function observed with Lévy noises in continuous time. An adaptive model selection proc ... More
Source: Теория вероятностей и ее применения. 2019. Т. 64, № 1. С. 153-154
Type: статьи в журналах
Date: 2019
Description: We consider a spread financial market defined by the Ornstein-Uhlenbeck (OU) process. We construct the optimal consumption/investment strategy for the power utility function. We study the Hamilton-Jac ... More
Source: 31st European modeling and simulation symposium (EMSS 2019) : held at the International Multidisciplinary Modeling and Simulation Multiconference (I3M 2019), Lisbon, Portugal, 18-20 September 2019. Rende, 2019. P. 29-33
Type: статьи в сборниках
Date: 2019
Description: We consider a problem of sequential detection of
Source: Теория вероятностей и ее применения. 2019. Т. 64, № 1. С. 156-157
Type: статьи в журналах
Date: 2019
Description: In this article we consider the nonparametric robust estimation problem for regression models in continuous time with semi-Markov noises observed in discrete time moments. An adaptive model selection ... More
Source: Statistical inference for stochastic processes. 2018. Vol. 21, № 1. P. 217-259
Type: статьи в журналах
Date: 2018
Description: We consider the quickest change-point detection problem in pointwise and minimax settings for general dependent data models. Two new classes of sequential detection procedures associated with the maxi ... More
Source: Communications - scientific letters of the University of Zilina. 2018. Vol. 20, № 1. P. 73-77
Type: статьи в журналах
Date: 2018
Description: In this paper, we consider the robust adaptive non parametric estimation problem for the periodic function observed with the Levy noises in continuous time. An adaptive model selection procedure, base ... More
Source: Международная научная конференция "Робастная статистика и финансовая математика - 2018" (09-11 июля 2018 г.) : сборник статей. Томск, 2018. С. 4-8
Type: статьи в сборниках
Date: 2018
Description: В работе рассматривается задача непараметрического оценивания авторегрессии для квадратичных рисков. Разрабатывается новый адаптивный последовательный метод выбора модели, основанный на эффективных по ... More
Source: Международная научная конференция "Робастная статистика и финансовая математика - 2018" (09-11 июля 2018 г.) : сборник статей. Томск, 2018. С. 9-15
Type: статьи в сборниках
Date: 2018
Source: Mathematical finance. 2017. Vol. 7, № 3. P. 832-865
Type: статьи в журналах
Date: 2017
Description: This paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Leland's algorithm. We ... More
Source: Международная научная конференция "Робастная статистика и финансовая математика - 2017" (03-05 июля 2017 г.) : сборник статей. Томск, 2017. С. 24-29
Type: статьи в сборниках
Date: 2017
Source: Международная научная конференция "Робастная статистика и финансовая математика - 2017" (03-05 июля 2017 г.) : сборник статей. Томск, 2017. С. 5-11
Type: статьи в сборниках
Date: 2017

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