| Publication | Date of Publication | Type |
|---|
Spectral representation of two-sided signals from \(\ell_\infty\) and applications to signal processing
Problems of Information Transmission | 2024-11-06 | Paper |
Optimal replication of random claims by ordinary integrals with applications in finance
| 2024-07-05 | Paper |
Near-ideal predictors and causal filters for discrete-time signals
Problems of Information Transmission | 2024-01-11 | Paper |
On statistical indistinguishability of complete and incomplete discrete time market models
Decisions in Economics and Finance | 2023-11-17 | Paper |
Predictors for high frequency signals based on rational polynomial approximation of periodic exponentials
Problems of Information Transmission | 2023-07-21 | Paper |
On the fractional stochastic integration for random non-smooth integrands
Stochastic Analysis and Applications | 2023-05-15 | Paper |
On recovery of discrete time signals with single-point spectrum degeneracy
Circuits, Systems, and Signal Processing | 2023-05-11 | Paper |
Optimal portfolio and certainty equivalence estimator for the appreciation rate
MCSS. Mathematics of Control, Signals, and Systems | 2022-09-14 | Paper |
Extrapolation and sampling for processes on spatial graphs
Sampling Theory, Signal Processing, and Data Analysis | 2022-08-02 | Paper |
Regularity of complexified hyperbolic equations with integral conditions
Complex Variables and Elliptic Equations | 2022-07-15 | Paper |
On backward SPDEs without proper Cauchy condition
Stochastics | 2022-07-07 | Paper |
On degenerate backward SPDEs in bounded domains under non-local conditions
Stochastics | 2022-07-05 | Paper |
On data compression and recovery for sequences using constraints on the spectrum range
Problems of Information Transmission | 2022-01-20 | Paper |
On linear weak predictability with single point spectrum degeneracy
Applied and Computational Harmonic Analysis | 2021-06-29 | Paper |
On incompleteness of polynomials in some weighted spaces on half line
| 2020-05-19 | Paper |
On causal extrapolation of sequences with applications to forecasting
Applied Mathematics and Computation | 2019-07-10 | Paper |
On recovering of solutions of Schr\"odinger equations from their time averages
| 2019-06-19 | Paper |
Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
On approximation of the distribution for Pearson statistic
| 2019-05-20 | Paper |
Pathwise estimation and inference for diffusion market models
| 2019-03-11 | Paper |
A Closed Equation in Time Domain for Band-Limited Extensions of One-Sided Sequences
IEEE Transactions on Signal Processing | 2019-02-12 | Paper |
Stochastic control problems and HJB equations with excluded parameters of random inputs
| 2019-02-04 | Paper |
Optimal portfolio selection and compression in an incomplete market
Quantitative Finance | 2019-01-14 | Paper |
On recovering parabolic diffusions from their time-averages
Calculus of Variations and Partial Differential Equations | 2019-01-10 | Paper |
On the structure of multifactor optimal portfolio strategies
ESAIM: Control, Optimisation and Calculus of Variations | 2018-12-21 | Paper |
On asymptotic optimality of Merton's myopic portfolio strategies under time discretization
IMA Journal of Mathematical Control and Information | 2018-09-27 | Paper |
Predictors for Discrete Time Processes With Energy Decay on Higher Frequencies
IEEE Transactions on Signal Processing | 2018-07-18 | Paper |
On the implied market price of risk under the stochastic numéraire
Annals of Finance | 2018-07-05 | Paper |
Predictability of sequences and subsequences with spectrum degeneracy at periodically located points
| 2018-03-06 | Paper |
A pathwise inference method for the parameters of diffusion terms
Journal of Nonparametric Statistics | 2018-01-05 | Paper |
On stochastic integrals with controlled growth of their containing range
| 2017-09-18 | Paper |
A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS
Mathematical Finance | 2017-07-21 | Paper |
First order BSPDEs in higher dimension for optimal control problems
SIAM Journal on Control and Optimization | 2017-05-24 | Paper |
On recovering solutions for SPDEs from their averages
| 2016-11-01 | Paper |
A first-order BSPDE for swing option pricing
Mathematical Finance | 2016-07-15 | Paper |
On Nyquist-Shannon Theorem with one-sided half of sampling sequence
| 2016-03-14 | Paper |
Degenerate backward SPDEs in bounded domains and applications to barrier options
Discrete and Continuous Dynamical Systems | 2016-03-09 | Paper |
On forward and backward SPDEs with non-local boundary conditions
Discrete and Continuous Dynamical Systems | 2016-03-09 | Paper |
On detecting and quantification of randomness for one-sided sequences
| 2016-01-24 | Paper |
On the dependence of the first exit times on the fluctuations of the domain boundary
Electronic Communications in Probability | 2015-12-01 | Paper |
Optimal energy storing and selling in continuous time stochastic multi-battery setting
| 2015-11-04 | Paper |
A smooth component of the fractional Brownian motion and optimal portfolio selection
| 2015-09-21 | Paper |
scientific article; zbMATH DE number 6454992 (Why is no real title available?)
| 2015-07-02 | Paper |
On Differentiation of Functionals Containing the First Exit of a Diffusion Process from a Domain
Theory of Probability & Its Applications | 2015-06-02 | Paper |
On strong causal binomial approximation for stochastic processes
Discrete and Continuous Dynamical Systems. Series B | 2014-12-04 | Paper |
Sub-ideal causal smoothing filters for real sequences
| 2014-11-27 | Paper |
On limit periodicity of discrete time stochastic processes
Stochastics and Dynamics | 2014-11-18 | Paper |
Causal band-limitness and predictability criterions for one-sided sequences
| 2014-08-25 | Paper |
Instability and stability of solutions of systems of nonlinear stochastic difference equations with diagonal noise
Journal of Difference Equations and Applications | 2014-06-19 | Paper |
Mutual fund theorem for continuous time markets with random coefficients
Theory and Decision | 2014-06-18 | Paper |
Volatility estimation from short time series of stock prices
Journal of Nonparametric Statistics | 2014-06-06 | Paper |
Weighted in time energy estimates for parabolic equations with applications to non-linear and non-local problems
Dynamics of Partial Differential Equations | 2013-06-12 | Paper |
Backward parabolic Ito equations and the second fundamental inequality
Random Operators and Stochastic Equations | 2013-06-06 | Paper |
Continuously controlled options: derivatives with added flexibility
International Journal of Theoretical and Applied Finance | 2013-04-22 | Paper |
Optimal replication of random vectors by ordinary integrals
Systems & Control Letters | 2013-02-21 | Paper |
Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance
| 2012-11-26 | Paper |
Backward SPDEs with non-local in time and space boundary conditions
| 2012-11-07 | Paper |
Mean-reverting discrete time market models: speculative opportunities and absence of arbitrage
IMA Journal of Management Mathematics | 2012-10-11 | Paper |
On statistical indistinguishability of the complete and incomplete markets
| 2012-09-20 | Paper |
On almost surely periodic and almost periodic solutions of backward SPDEs
| 2012-08-27 | Paper |
On detecting the dependence of time series
Communications in Statistics. Theory and Methods | 2012-05-18 | Paper |
Dimension reduction and mutual fund theorem in maximin setting for Bond market
Discrete and Continuous Dynamical Systems. Series B | 2011-12-13 | Paper |
Option pricing via maximization over uncertainty and correction of volatility smile
International Journal of Theoretical and Applied Finance | 2011-08-10 | Paper |
On martingale measures and pricing for continuous bond-stock market with stochastic bond
| 2011-08-02 | Paper |
Representation of functionals of Itô processes and their first exit times
Stochastics | 2011-07-20 | Paper |
On prescribed change of profile for solutions of parabolic equations
Journal of Physics A: Mathematical and Theoretical | 2011-06-22 | Paper |
Duality and semi-group property for backward parabolic Itô equations
Random Operators and Stochastic Equations | 2011-02-22 | Paper |
The integral estimations for ordinary differential equations and its application to the non-smooth optimal control problems
| 2010-10-29 | Paper |
Dokuchaev, N.G. The integral estimations for ordinary differential equations with a discontinuity on a domain boundary
| 2010-10-28 | Paper |
Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
ESAIM: Control, Optimisation and Calculus of Variations | 2010-08-11 | Paper |
Universal strategies for diffusion markets and possibility of asymptotic arbitrage
Insurance Mathematics & Economics | 2010-06-20 | Paper |
Regularity for some backward heat equations
Journal of Physics A: Mathematical and Theoretical | 2010-03-22 | Paper |
Predictability on finite horizon for processes with exponential decrease of energy on higher frequencies
Signal Processing | 2010-01-08 | Paper |
Optimality of myopic strategies for multi-stock discrete time market with management costs
European Journal of Operational Research | 2009-12-14 | Paper |
On identity theorem for real functions
| 2009-11-03 | Paper |
MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING
International Journal of Theoretical and Applied Finance | 2009-08-10 | Paper |
scientific article; zbMATH DE number 5496230 (Why is no real title available?)
| 2009-01-22 | Paper |
The predictability of band-limited, high-frequency and mixed processes in the presence of ideal low-pass filters
Journal of Physics A: Mathematical and Theoretical | 2008-10-08 | Paper |
Estimates for first exit times of non-Markovian Itô processes
Stochastics | 2008-08-08 | Paper |
Parabolic Ito Equations with Mixed in Time Conditions
Stochastic Analysis and Applications | 2008-06-12 | Paper |
Universal estimate of the gradient for parabolic equations
Journal of Physics A: Mathematical and Theoretical | 2008-06-09 | Paper |
Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
Applied Mathematical Finance | 2008-04-29 | Paper |
Cordes conditions and some alternatives for parabolic equations and discontinuous diffusion
| 2008-04-28 | Paper |
Maximin investment problems for discounted and total wealth
IMA Journal of Management Mathematics | 2008-03-27 | Paper |
Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation†
IMA Journal of Management Mathematics | 2007-11-27 | Paper |
Parabolic equations with the second-order Cauchy conditions on the boundary
Journal of Physics A: Mathematical and Theoretical | 2007-10-31 | Paper |
Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter
SIAM Journal on Control and Optimization | 2007-03-20 | Paper |
Discrete time market with serial correlations and optimal myopic strategies
European Journal of Operational Research | 2006-12-07 | Paper |
Parabolic Ito equations and second fundamental inequality
Stochastics | 2005-11-15 | Paper |
Parabolic Ito Equations with Nonsmooth Nonlinearity and Duality Approach
Theory of Probability & Its Applications | 2004-12-16 | Paper |
Estimates for distances between first exit times via parabolic equations in unbounded cylinders
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2004-10-05 | Paper |
Suboptimal damping of forced oscillations
Vestnik St. Petersburg University. Mathematics | 2004-02-26 | Paper |
Stochastic control problems with functionals depending on local time
Vestnik St. Petersburg University. Mathematics | 2004-02-25 | Paper |
scientific article; zbMATH DE number 2036015 (Why is no real title available?)
| 2004-02-02 | Paper |
A bounded risk strategy for a market with non-observable parameters.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
On $L_1$-distance between first exit times from two regions
| 2003-03-20 | Paper |
Optimal investment strategies with bounded risks, general utilities, and goal achieving
Journal of Mathematical Economics | 2002-09-22 | Paper |
Solvability of Kolmogorov-Fokker-Planck equations for vectorjump processes and occupation time on hypersurfaces
International Journal of Mathematics and Mathematical Sciences | 2002-08-13 | Paper |
Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information
International Series in Operations Research & Management Science | 2002-05-03 | Paper |
scientific article; zbMATH DE number 1538585 (Why is no real title available?)
| 2001-03-28 | Paper |
A new property of absorbed diffusions
| 2000-11-14 | Paper |
Equations for probability distributions of local occupation time on a surface for diffusion processes and control problems
Journal of Mathematical Sciences (New York) | 2000-08-24 | Paper |
Local Sojourn Time of Diffusion and Degenerating Processeson a Mobile Surface
Theory of Probability & Its Applications | 2000-06-06 | Paper |
scientific article; zbMATH DE number 1227238 (Why is no real title available?)
| 1998-12-07 | Paper |
scientific article; zbMATH DE number 1144389 (Why is no real title available?)
| 1998-07-01 | Paper |
scientific article; zbMATH DE number 1055599 (Why is no real title available?)
| 1998-05-25 | Paper |
\(S\)-procedure and duality for nonlinear stochastic problems
Vestnik St. Petersburg University. Mathematics | 1998-04-23 | Paper |
scientific article; zbMATH DE number 972629 (Why is no real title available?)
| 1997-08-04 | Paper |
scientific article; zbMATH DE number 994213 (Why is no real title available?)
| 1997-03-31 | Paper |
Equations for probability distributions of local occupation time on a surface for diffusion processes and control problems
Journal of Mathematical Sciences (New York) | 1997-01-01 | Paper |
Nonstationary control problems for diffusion processes on an infinite time interval
Vestnik St. Petersburg University. Mathematics | 1996-12-10 | Paper |
scientific article; zbMATH DE number 917235 (Why is no real title available?)
| 1996-11-26 | Paper |
On parabolic equations with discontinuous perturbations in coefficients
Vestnik St. Petersburg University. Mathematics | 1996-10-30 | Paper |
\(S\)-procedure for nonlinear ordinary differential equations with a stochastically distributed initial value
Vestnik St. Petersburg University. Mathematics | 1996-10-30 | Paper |
scientific article; zbMATH DE number 917263 (Why is no real title available?)
| 1996-08-15 | Paper |
scientific article; zbMATH DE number 850344 (Why is no real title available?)
| 1996-03-17 | Paper |
A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints
Journal of Computer and Systems Sciences International | 1995-10-19 | Paper |
scientific article; zbMATH DE number 610167 (Why is no real title available?)
| 1994-08-16 | Paper |
Boundary Value Problems for Functionals of Itô Processes
Theory of Probability & Its Applications | 1993-09-22 | Paper |
scientific article; zbMATH DE number 25123 (Why is no real title available?)
| 1992-06-26 | Paper |
scientific article; zbMATH DE number 25146 (Why is no real title available?)
| 1992-06-26 | Paper |
scientific article; zbMATH DE number 20654 (Why is no real title available?)
| 1992-06-26 | Paper |
scientific article; zbMATH DE number 10913 (Why is no real title available?)
| 1992-06-25 | Paper |
Integral estimates for ordinary differential equations and their application to nonsmooth optimal control problems
| 1991-01-01 | Paper |
scientific article; zbMATH DE number 4200717 (Why is no real title available?)
| 1990-01-01 | Paper |
scientific article; zbMATH DE number 4098159 (Why is no real title available?)
| 1988-01-01 | Paper |
On First Exit Times for Homogeneous Diffusion Processes
Theory of Probability & Its Applications | 1987-01-01 | Paper |
Optimal programmed control of stochastic plants with constraints on the state for each time instant
Automation and Remote Control | 1984-01-01 | Paper |
A frequency criterion for the existence of an optimal control for Ito equations
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3858125 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3938194 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3805410 (Why is no real title available?)
| 1983-01-01 | Paper |
scientific article; zbMATH DE number 3805406 (Why is no real title available?)
| 1982-01-01 | Paper |
Spectral representation of two-sided signals from $\ell_\infty$ and applications to signal processing
| N/A | Paper |
On predicting for non-vanishing continuous time signals
| N/A | Paper |
