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

Add to Quick Collection   All 37 Results

Showing items 1 - 15 of 37.
Sort:
 Add All Items to Quick Collection
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 ... More
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 ... More
Source: Международная научная конференция "Робастная статистика и финансовая математика – 2022" (4-5 июля 2022 г.) : сборник статей. Томск, 2022. С. 4-11
Type: статьи в сборниках
Date: 2022
Description: We consider a spread financial market defined by the Ornstein–Uhlenbeck (OU) process with a diffusion coefficient driven by a stochastic differential equation.For this market we study the optimal cons ... More
Source: Международная научная конференция "Робастная статистика и финансовая математика – 2022" (4-5 июля 2022 г.) : сборник статей. Томск, 2022. С. 12-20
Type: статьи в сборниках
Date: 2022
Description: Рассматриваются задачи оптимального потребления иинвестирования для финансовых рынков,описываемых семимартингалами с независимыми приращениями при логарифмических полезностях.Найдены оптимальные финан ... More
Type: учебные издания
Date: 2022
Description: This course is devoted to the main problems of the sequential analysis: sequential estimation and sequential hypothesis testing. Firstly we construct the least squares estimate for the scalar regressi ... More
Source: Международная научная конференция "Робастная статистика и финансовая математика – 2020" (15-16 декабря 2020 г.) : сборник статей. Томск, 2021. С. 14-22
Type: статьи в сборниках
Date: 2021
Description: We study a non parametric estimation problem for regression models in continuous time with noises defined through non -Gaussian semi - Markov processes with jumps. Moreover, we assume that the jumps a ... More
Source: Международная научная конференция "Робастная статистика и финансовая математика – 2020" (15-16 декабря 2020 г.) : сборник статей. Томск, 2021. С. 4-13
Type: статьи в сборниках
Date: 2021
Description: In this paper we study high dimension statistical autoregressive models on the basis of the sequential analysis approach. To this end we use the model selection procedures developed in [4]. For such m ... More
Source: Международная научная конференция "Робастная статистика и финансовая математика – 2020" (15-16 декабря 2020 г.) : сборник статей. Томск, 2021. С. 32-40
Type: статьи в сборниках
Date: 2021
Description: We consider a portfolio optimization problem for financial markets driven by Levy processes with non constant coefficients. For power utility functions we find the optimal strategy in explicit form. M ... More
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 ... More
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
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: 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 ... 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: Международная научная конференция "Робастная статистика и финансовая математика - 2019" (04-06 июля 2019 г.) : сборник статей. Томск, 2019. С. 43-48
Type: статьи в сборниках
Date: 2019
Description: In this paper we study an asymptotic efficiency property of the weighted least squares estimates for unknown square inte- grable functions in Gaussian regression models. We use the Pinsker approach. I ... More

Date

^