| Publication | Date of Publication | Type |
|---|
Spectral representation of two-sided signals from \ell_\infty and applications to signal processing
(available as arXiv preprint) | N/A | Paper |
On predicting for non-vanishing continuous time signals
(available as arXiv preprint) | N/A | Paper |
On processing of unbounded continuous-time signals
Problems of Information Transmission | 2026-06-22 | Paper |
Spectral representation of two-sided signals from _ 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 spectral representation and sampling for unbounded continuous time signals
(available as arXiv preprint) | 2024-01-01 | 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 incompleteness of polynomials in some weighted spaces on half line
(available as arXiv preprint) | 2020-01-01 | 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 approximation of the distribution for Pearson statistic
(available as arXiv preprint) | 2019-01-01 | Paper |
Stochastic control problems and HJB equations with excluded parameters of random inputs
(available as arXiv preprint) | 2019-01-01 | 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 |
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 |
Predictability of sequences and subsequences with spectrum degeneracy at periodically located points
(available as arXiv preprint) | 2018-01-01 | 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 stochastic integrals with controlled growth of their containing range
(available as arXiv preprint) | 2017-01-01 | 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 detecting and quantification of randomness for one-sided sequences
(available as arXiv preprint) | 2016-01-01 | Paper |
On Nyquist-Shannon Theorem with one-sided half of sampling sequence
(available as arXiv preprint) | 2016-01-01 | Paper |
On recovering solutions for SPDEs from their averages
(available as arXiv preprint) | 2016-01-01 | 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 |
A smooth component of the fractional Brownian motion and optimal portfolio selection
(available as arXiv preprint) | 2015-01-01 | Paper |
Optimal energy storing and selling in continuous time stochastic multi-battery setting
(available as arXiv preprint) | 2015-01-01 | 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 |
Causal band-limitness and predictability criterions for one-sided sequences
(available as arXiv preprint) | 2014-01-01 | Paper |
Sub-ideal causal smoothing filters for real sequences
(available as arXiv preprint) | 2014-01-01 | 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 |
On almost surely periodic and almost periodic solutions of backward SPDEs
(available as arXiv preprint) | 2012-01-01 | Paper |
Backward SPDEs with non-local in time and space boundary conditions
(available as arXiv preprint) | 2012-01-01 | Paper |
Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance
(available as arXiv preprint) | 2012-01-01 | 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 |
On martingale measures and pricing for continuous bond-stock market with stochastic bond
(available as arXiv preprint) | 2011-01-01 | 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 |
Dokuchaev, N.G. The integral estimations for ordinary differential equations with a discontinuity on a domain boundary
(available as arXiv preprint) | 2010-01-01 | Paper |
The integral estimations for ordinary differential equations and its application to the non-smooth optimal control problems
(available as arXiv preprint) | 2010-01-01 | 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 |
On identity theorem for real functions
(available as arXiv preprint) | 2009-01-01 | Paper |
