Person:592779

Available identifiers

zbMath Open pergamenshchikov.s-mMaRDI QIDQ592779

List of research outcomes

Publication	Date of Publication	Type
https://portal.mardi4nfdi.de/entity/Q6183175	2024-01-26	Paper
On ruin probabilities with investments in a risky asset with a regime-switching price	2022-09-26	Paper
Adaptive efficient estimation for generalized semi-Markov big data models	2022-08-17	Paper
Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty	2022-06-27	Paper
Model selection for the robust efficient signal processing observed with small Lévy noise	2021-05-03	Paper
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process	2019-12-27	Paper
Robust adaptive efficient estimation for semi-Markov nonparametric regression models	2019-07-26	Paper
Kullback-Leibler Approach to CUSUM Quickest Detection Rule for Markovian Time Series	2019-04-29	Paper
Sharp non asymptotic oracle inequalities for non parametric computerized tomography model	2018-11-21	Paper
Robust adaptive efficient estimation for a semi-Markov continuous time regression from discrete data	2017-10-29	Paper
Sequential $\delta$-Optimal Consumption and Investment for Stochastic Volatility Markets with Unknown Parameters	2016-12-07	Paper
In the insurance business risky investments are dangerous: the case of negative risk sums	2016-05-23	Paper
The ruin problem for L\'evy-driven linear stochastic equations with applications to actuarial models with negative risk sums	2016-04-21	Paper
General model selection estimation of a periodic regression with a Gaussian noise	2016-02-01	Paper
Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions	2015-10-30	Paper
Estimation of a Regression with the Pulse Type Noise from Discrete Data	2014-11-28	Paper
Robust model selection for a semimartingale continuous time regression from discrete data	2014-11-07	Paper
Geometric ergodicity for classes of homogeneous Markov chains	2014-09-04	Paper
Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression	2014-08-04	Paper
Truncated sequential estimation of the parameter of a first order autoregressive process with dependent noises	2014-03-10	Paper
Optimal consumption and investment for markets with random coefficients	2013-04-02	Paper
Efficient robust nonparametric estimation in a semimartingale regression model	2013-01-11	Paper
Uniform concentration inequality for ergodic diffusion processes observed at discrete times	2012-11-15	Paper
Adaptive sequential estimation for ergodic diffusion processes in quadratic metric	2011-07-22	Paper
Geometric ergodicity for families of homogeneous Markov chains	2010-02-11	Paper
Optimal consumption and investment with bounded downside risk for power utility functions	2010-02-05	Paper
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions	2010-01-13	Paper
Erratum to: ``Ruin probability in the presence of risky investments [Stochastic Process Appl. 116 (2006) 267-278]	2009-02-19	Paper
Sharp non-asymptotic oracle inequalities for non-parametric heteroscedastic regression models	2009-02-18	Paper
Improved model selection method for a regression function with dependent noise	2007-10-24	Paper
Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes	2007-09-10	Paper
Uniform concentration inequality for ergodic diffusion processes	2007-06-26	Paper
Nonparametric sequential estimation of the drift in diffusion processes via model selection	2007-04-27	Paper
Extremal behaviour of models with multivariate random recurrence representation	2007-04-16	Paper
Asymptotically efficient estimates for nonparametric regression models	2006-06-16	Paper
Ruin probability in the presence of risky investments	2006-04-28	Paper
Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes	2005-10-17	Paper
The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.	2004-09-15	Paper
Renewal theory for functionals of a Markov chain with compact state space.	2004-07-01	Paper
Limit theorem for Leland's strategy	2004-03-21	Paper
Sequential estimation of the parameters in a trigonometric regression model with the Gaussian coloured noise	2004-02-03	Paper
Sequential Estimation in Stochastic Approximation Problem with Autoregressive Errors in Observations	2003-09-25	Paper
Sequential nonparametric adaptive estimation of the drift coefficient in diffusion processes	2003-02-10	Paper
On asymptotic minimaxity of fixed accuracy estimators for autoregression parameters. II: Purely explosive process.	2003-02-10	Paper
https://portal.mardi4nfdi.de/entity/Q4788298	2003-01-21	Paper
In the insurance business risky investments are dangerous	2002-12-01	Paper
Asymptotic expansions for the stochastic approximation averaging procedure in continuous time	2002-03-06	Paper
https://portal.mardi4nfdi.de/entity/Q4251568	2000-06-13	Paper
On asymptotic minimaxity of fixed accuracy estimators for autoregression parameters. I: Stable process	2000-01-11	Paper
The Prescribed Precision Estimators of the AutoregressionParameter Using the Generalized Least Square Method	1998-09-10	Paper
Guaranteed estimation of a periodic signal distorted by an autoregressive noise with unknown parameters.	1998-08-19	Paper
On Convergence of Attainability Sets for Controlled Two-Scale Stochastic Linear Systems	1998-06-07	Paper
On guaranteed estimation of the mean of an autoregressive process	1998-01-08	Paper
Sequential Generlized Least squares Estimator For An Autoressive parameter	1997-08-28	Paper
Guaranteed estimation of linear regression parameters under dependent disturbances	1997-01-01	Paper
On the estimation of an autoregressive parameter on the basis of the generalized method of least squares	1996-10-15	Paper
Large deviations for solutions of singularly perturbed stochastic differential equations	1996-09-03	Paper
https://portal.mardi4nfdi.de/entity/Q4871596	1996-05-14	Paper
Martingale-difference Gibbs random fields and central limit theorem	1994-04-26	Paper
Sequential parameter estimation with guaranteed mean-square accuracy for unstable linear stochastic systems	1994-03-08	Paper
https://portal.mardi4nfdi.de/entity/Q4695458	1993-06-29	Paper
ON Optimality the Feosd-Accuracy Estimate Op Theparameter In Ah Explosive Autoregressive Process Op The First Order	1993-05-16	Paper
Sequential Estimation of the Parameter of a Stochastic Difference Equation with Random Coefficients	1993-04-01	Paper
SINGULAR PERTURBATIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS	1992-09-26	Paper
Sets of accessibility for controlled stochastic differential equations	1992-09-26	Paper
https://portal.mardi4nfdi.de/entity/Q3975859	1992-06-26	Paper
Optimal control of singularly perturbed stochastic linear systems	1992-06-25	Paper
https://portal.mardi4nfdi.de/entity/Q5202880	1991-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3201185	1990-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3203788	1990-01-01	Paper
Truncated sequential estimation of the parameters in a random regression	1990-01-01	Paper
On Truncatd sequential estimation of the drifting parametermean in the first order autoregressive models	1990-01-01	Paper
Guaranteed parameter estimation in unstable dynamic systems	1988-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3468488	1986-01-01	Paper
On the duration of sequential estimation of parameters of stochastic processes in discretetime	1986-01-01	Paper
Sequential estimation of parameters of diffusion processes	1985-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3681777	1985-01-01	Paper
Estimation of the number of observations in the sequential parameter identification of dynamical systems	1984-01-01	Paper
Sequential identification procedures for the parameters of dynamic systems	1981-01-01	Paper

Research outcomes over time

This page was built for person: Serguei Pergamenchtchikov