Browsing by Author Novikov, A

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Issue DateTitleAuthor(s)
1-Jan-2014Discussion on "Sequential Estimation for Time Series Models" by T. N. Sriram and Ross IaciNovikov, A; Shiryaev, AN
1-Jan-2011An elementary approach to optimal stopping problems for AR(1) sequencesChristensen, S; Irle, A; Novikov, A
1-Dec-2013Ensuring long term investment for large scale solar power stations: Hedging instruments for green powerRadchik, A; Skryabin, I; Maisano, J; Novikov, A; Gazarian, T
1-Jul-2018Estimation of cusp location of stochastic processes: a surveyDachian, S; Kordzakhia, N; Kutoyants, YA; Novikov, A
Jan-2010Explicit analytical solutions for the average run length of CUSUM and EWMA chartsMititelu, G; Areepong, Y; Sukparungsee, S; Novikov, A
1-Mar-2005Explicit bounds for approximation rates of boundary crossing probabilities for the wiener processBorovkov, K; Novikov, A
1-Jan-2005First passage time of filtered Poisson process with exponential shape functionNovikov, A; Melchers, RE; Shinjikashvili, E; Kordzakhia, N
2002Geometric Levy Process Pricing ModelMiyahara, Y; Novikov, A
Jan-2010Lognormal forward market model (LFM) volatility function approximationChung, I; Dun, T; Schlogl, E; Chiarella, C; Novikov, A
1-Jan-2010M-6-On Minimal Market Models and Minimal Martingale MeasuresHulley, H; Schweizer, M; Chiarella, C; Novikov, A
1-Apr-2008Martingales and first passage times of AR(1) sequencesNovikov, A; Kordzakhia, N
Jan-2003Martingales and first-exit times for the Ornstein-Uhlenbeck process with jumpsNovikov, A
1-Jun-2018New and refined bounds for expected maxima of fractional Brownian motionBorovkov, K; Mishura, Y; Novikov, A; Zhitlukhin, M
Jan-2002On a new approach to calculating expectations for option pricingBorovkov, K; Novikov, A
1-Jul-2001On a piece-wise deterministic Markov process modelBorovkov, K; Novikov, A
1-Jun-2007On a solution of the optimal stopping problem for processes with independent incrementsNovikov, A; Shiryaev, A
Jan-2009On a stochastic version of the trading rule 'Buy and Hold'Shiryaev, AN; Novikov, A
1-Nov-2017On distibutions of first passage times of martingales arising in some gambling problemsNovikov, A; Kaji, S
Jan-2006On EWMA procedure for detection of a change in observation via Martingale approachSukparungsee, S; Novikov, A
1-Sep-2008On exit times of Levy-driven Ornstein-Uhlenbeck processesBorovkov, K; Novikov, A