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Source: Theory of probability and its applications. 2023. Vol. 68, № 2. P. 211-230
Type: статьи в журналах
Date: 2023
Description:
In this paper, we develop asymptotic Asian option hedging methods for the Black--Scholes markets with transaction costs. We first construct classical replication strategies and then, using the Leland
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Source: Вестник Томского государственного университета. Математика и механика. 2023. № 85. С. 22-31
Type: статьи в журналах
Date: 2023
Description:
In this paper we consider the nonparametric estimation problem for a continuous time regression model with non-Gaussian Lévy noise of small intensity. The estimation problem is studied under the condi
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Source: Statistical inference for stochastic processes. 2022. Vol. 25, № 1. P. 127-158
Type: статьи в журналах
Date: 2022
Description:
We consider drift estimation problems for high dimension ergodic diffusion processes in nonparametric setting based on observations at discrete fixed time moments in the case when diffusion coefficien
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Source: Annals of the Institute of Statistical Mathematics. 2022. Vol. 74, № 5. P. 925-955
Type: статьи в журналах
Date: 2022
Description:
In this paper we study generalized semi-Markov high dimension regression models in continuous time, observed at fixed discrete time moments. The generalized semi-Markov process has dependent jumps and
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Source: Sequential Analysis. 2022. Vol. 41, № 1. P. 119-141
Type: статьи в журналах
Date: 2022
Description:
By making use of Kullback-Leibler information, we develop a new approach for the quickest detection problem for general statistical models with dependent observations and unknown postchange distributi
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Source: Annals of the Institute of Statistical Mathematics. 2022. Vol. 74, № 1. P. 113-142
Type: статьи в журналах
Date: 2022
Description:
In this paper, we develop an efficient nonparametric estimation theory for continuous time regression models with non-Gaussian Lévy noises in the case when the unknown functions belong to Sobolev elli
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Source: Journal of multivariate analysis. 2022. Vol. 190. P. 104977
Type: статьи в журналах
Date: 2022
Description:
This paper considers the problem of joint change detection and identification assuming multiple composite post-change hypotheses. We propose a multihypothesis changepoint detection-identification proc
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Source: Finance and stochastics. 2022. Vol. 26, № 4. P. 877-897
Type: статьи в журналах
Date: 2022
Source: Theory of probability and its applications. 2020. Vol. 65, № 2. P. 224-248
Type: статьи в журналах
Date: 2020
Description:
We study a problem of option replication under constant proportional transaction costs in models where stochastic volatility and jumps are combined to capture the market's important features. Assuming
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Source: Annals of the Institute of Statistical Mathematics. 2020. Vol. 72, № 5. P. 1205-1235
Type: статьи в журналах
Date: 2020
Description:
We develop a new model selection method for an adaptive robust efficient nonparametric
Source: Finance and stochastics. 2020. Vol. 24, № 1. P. 39-69
Type: статьи в журналах
Date: 2020
Description:
We study the asymptotic of the ruin probability for a process which is the solution of linear SDE defined by a pair of independent Levy processes. Our main ´ interest is the model describing the evolu
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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
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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
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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
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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
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