| Publication | Date of Publication | Type |
|---|
When a stochastic exponential is a true martingale. Extension of the Beneš method
Theory of Probability & Its Applications | 2014-06-26 | Paper |
Beneš condition for a discontinuous exponential martingale
Journal of Mathematical Sciences (New York) | 2013-07-30 | Paper |
Asymptotic analysis of ruin in the constant elasticity of variance model
Theory of Probability & Its Applications | 2011-08-09 | Paper |
The Euler-Maruyama approximations for the CEV model
Discrete and Continuous Dynamical Systems. Series B | 2011-07-27 | Paper |
| Intrinsic methods in filter stability | 2011-07-13 | Paper |
Large deviations application to Billingsley's example
Sequential Analysis | 2010-10-01 | Paper |
Moderate deviations for a diffusion-type process in a random environment
Theory of Probability & Its Applications | 2010-08-16 | Paper |
From Disorder Detection to Optimal Stopping and Mathematical Finance
Sequential Analysis | 2010-07-13 | Paper |
| scientific article; zbMATH DE number 5666920 (Why is no real title available?) | 2010-02-05 | Paper |
| Bene$\check{\bf S}$ condition for discontinuous exponential martingale | 2009-11-03 | Paper |
Cramer's theorem for nonnegative multivariate point processes with independent increments
(available as arXiv preprint) | 2008-07-29 | Paper |
Large Deviations Analysis of Extinction in Branching Models
Mathematical Population Studies | 2008-03-28 | Paper |
Examples of moderate deviation principle for diffusion processes
Discrete and Continuous Dynamical Systems. Series B | 2008-02-22 | Paper |
The Freidlin-Wentzell LDP with rapidly growing coefficients
(available as arXiv preprint) | 2007-10-31 | Paper |
On-line tracking of a smooth regression function
Statistical Inference for Stochastic Processes | 2007-09-10 | Paper |
Likely path to extinction in simple branching models with large initial population
Journal of Applied Mathematics and Stochastic Analysis | 2007-03-19 | Paper |
On Estimation of Volatility Surface and Prediction of Future Spot Volatility
Applied Mathematical Finance | 2007-02-15 | Paper |
A filtering approach to tracking volatility from prices observed at random times
The Annals of Applied Probability | 2007-02-05 | Paper |
On a role of predictor in the filtering stability
Electronic Communications in Probability | 2006-11-03 | Paper |
On a role of predictor in the filtering stability
Electronic Communications in Probability | 2006-11-03 | Paper |
Tracking volatility
Problems of Information Transmission | 2006-10-26 | Paper |
scientific article; zbMATH DE number 5066261 (Why is no real title available?)
(available as arXiv preprint) | 2006-10-23 | Paper |
scientific article; zbMATH DE number 5066274 (Why is no real title available?)
(available as arXiv preprint) | 2006-10-23 | Paper |
On diffusion approximation with discountinuous coefficients.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
| Asymptotic analysis of ruin in CEV model | 2005-11-04 | Paper |
| A filtering approach to tracking volatility from prices observed at random times | 2005-09-21 | Paper |
MDP for integral functionals of fast and slow processes with averaging
Stochastic Processes and their Applications | 2005-08-05 | Paper |
| Likely path to extinction for simple branching model (Large Deviations approach) | 2005-07-13 | Paper |
Stability of nonlinear filters in nonmixing case
The Annals of Applied Probability | 2005-03-21 | Paper |
Stability of nonlinear filters in nonmixing case
The Annals of Applied Probability | 2005-03-21 | Paper |
Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
SIAM Journal on Control and Optimization | 2005-02-28 | Paper |
On estimation of time dependent spatial signal in Gaussian white noise.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
On existence of limiting distribution for time-nonhomogeneous countable Markov process
Queueing Systems | 2004-08-10 | Paper |
| Moderate deviation principle for exponentially ergodic Markov chain | 2004-05-09 | Paper |
Online Estimation of a Smooth Regression Function
Theory of Probability & Its Applications | 2004-01-21 | Paper |
Some results on the Lotka--Volterra model and its small random perturbations
Acta Applicandae Mathematicae | 2003-12-09 | Paper |
| scientific article; zbMATH DE number 1933009 (Why is no real title available?) | 2003-10-28 | Paper |
Asymptotic analysis and extinction in a stochastic Lotka-Volterra model
The Annals of Applied Probability | 2003-05-06 | Paper |
Markovianity of a subset of components of a Markov process
Systems & Control Letters | 2002-07-15 | Paper |
| On exponential stability of Wonham filter | 2002-04-22 | Paper |
On estimating a dynamic function of a stochastic system with averaging
Statistical Inference for Stochastic Processes | 2002-04-07 | Paper |
A simple asymptotically optimal filter over an infinite horizon
Journal of Applied Mathematics and Stochastic Analysis | 2001-11-07 | Paper |
| Moderate deviations for dynamic model governed by stationary process | 2001-07-16 | Paper |
Diffusion approximation and optimal stochastic control
Theory of Probability and its Applications | 2001-05-02 | Paper |
Moderate deviations for randomly perturbed dynamical systems
Stochastic Processes and their Applications | 2001-01-17 | Paper |
Deviation probability bound for martingales with applications to statistical estimation
Statistics & Probability Letters | 2001-01-11 | Paper |
| scientific article; zbMATH DE number 1546853 (Why is no real title available?) | 2000-12-20 | Paper |
| scientific article; zbMATH DE number 1546925 (Why is no real title available?) | 2000-12-20 | Paper |
An Example of Large Deviations for a Stationary Process
Theory of Probability & Its Applications | 2000-10-19 | Paper |
| scientific article; zbMATH DE number 1304738 (Why is no real title available?) | 2000-06-21 | Paper |
Filtering with a limiter (improved performance)
Journal of Applied Mathematics and Stochastic Analysis | 2000-02-28 | Paper |
Moderate deviations type evaluation for integral functionals of diffusion processes
Electronic Journal of Probability | 1999-10-26 | Paper |
Moderate deviations type evaluation for integral functionals of diffusion processes
Electronic Journal of Probability | 1999-10-26 | Paper |
Tracking of signals and its derivatives in Gaussian white noise
Stochastic Processes and their Applications | 1999-01-14 | Paper |
Nonlinear filtering problem with contamination
The Annals of Applied Probability | 1998-09-20 | Paper |
Large deviations for past-dependent recursions.
Problems of Information Transmission | 1998-08-19 | Paper |
| scientific article; zbMATH DE number 1147068 (Why is no real title available?) | 1998-04-29 | Paper |
Probability Theory III
Encyclopaedia of Mathematical Sciences | 1997-12-18 | Paper |
Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation
Stochastic Processes and their Applications | 1997-12-10 | Paper |
Large Deviations for Occupation Measures of Markov Processes: Discrete Time, Noncompact Case
Theory of Probability & Its Applications | 1997-09-30 | Paper |
Deterministic Approximation for Stochastic Control Problems
SIAM Journal on Control and Optimization | 1997-08-11 | Paper |
Large deviations for two scaled diffusions
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1997-01-27 | Paper |
Nonlinear filters for linear models (a robust approach)
IEEE Transactions on Information Theory | 1996-05-14 | Paper |
| scientific article; zbMATH DE number 862388 (Why is no real title available?) | 1996-05-14 | Paper |
Large deviations for unbounded additive functionals of a Markov process with discrete time (noncompact case)
Journal of Applied Mathematics and Stochastic Analysis | 1995-08-21 | Paper |
Large deviations for a simple closed queueing model
Queueing Systems | 1994-05-19 | Paper |
Limit non-stationary behavior of large closed queueing networks with bottlenecks
Queueing Systems | 1994-01-04 | Paper |
| scientific article; zbMATH DE number 219293 (Why is no real title available?) | 1993-06-29 | Paper |
| scientific article; zbMATH DE number 130625 (Why is no real title available?) | 1993-03-10 | Paper |
| scientific article; zbMATH DE number 44889 (Why is no real title available?) | 1992-09-17 | Paper |
Limit theorems on large deviations for semimartingales
Stochastics and Stochastic Reports | 1992-06-28 | Paper |
Minimal dimension linear filters for stationary Markov processes with finite state space
Stochastics and Stochastic Reports | 1992-06-25 | Paper |
Diffusional Approximation for Processes with the Normal Reflection
Theory of Probability & Its Applications | 1992-06-25 | Paper |
On diffusion approximations for filtering
Stochastic Processes and their Applications | 1991-01-01 | Paper |
Diffusion approximation in past dependent models and applications to option pricing
The Annals of Applied Probability | 1991-01-01 | Paper |
| scientific article; zbMATH DE number 4174067 (Why is no real title available?) | 1990-01-01 | Paper |
Stochastic version of the averaging principle for diffusion type processes
Stochastics and Stochastic Reports | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4213123 (Why is no real title available?) | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4176128 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4180475 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4201263 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4038977 (Why is no real title available?) | 1988-01-01 | Paper |
Diffusion Approximation of Systems with Arrival Depending on Queue, and with Arbitrary Servicing
Theory of Probability & Its Applications | 1988-01-01 | Paper |
Applications of martingale methods
Automation and Remote Control | 1988-01-01 | Paper |
Gaussian diffusion approximation of closed Markov models of computer networks
Problems of Information Transmission | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3956121 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 4067970 (Why is no real title available?) | 1986-01-01 | Paper |
On the variation distance for probability measures defined on a filtered space
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1986-01-01 | Paper |
On contiguity of probability measures corresponding to semimartingales
Analysis Mathematica | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3909450 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3965092 (Why is no real title available?) | 1985-01-01 | Paper |
On the Invariance Principle for Semi-Martingales: The “Nonclassical” Case
Theory of Probability & Its Applications | 1984-01-01 | Paper |
Weak and Strong Convergence of the Distributions of Counting Processes
Theory of Probability & Its Applications | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3940320 (Why is no real title available?) | 1984-01-01 | Paper |
WEAK CONVERGENCE OF A SEQUENCE OF SEMIMARTINGALES TO A PROCESS OF DIFFUSION TYPE
Mathematics of the USSR-Sbornik | 1984-01-01 | Paper |
On convergence in variation of the distributions of multivariate point processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3866292 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3816749 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3820816 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3824859 (Why is no real title available?) | 1983-01-01 | Paper |
ON WEAK CONVERGENCE OF SEMIMARTINGALES TO STOCHASTICALLY CONTINUOUS PROCESSES WITH INDEPENDENT AND CONDITIONALLY INDEPENDENT INCREMENTS
Mathematics of the USSR-Sbornik | 1983-01-01 | Paper |
Necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures
Russian Mathematical Surveys | 1982-01-01 | Paper |
On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1982-01-01 | Paper |
