2 citations · 10 across the 8 of their papers we have counts for
10 papers
Estimation of Cusp Location of Stochastic Processes: a Survey
S. Dachian, N. Kordzakhia, Yu. A. Kutoyants +1
We present a review of some recent results on estimation of location parameter for several models of observations with cusp-type singularity at the change point. We suppose that th…
On a representation of fractional Brownian motion and the limit distributions of statistics arising in cusp statistical models
Nino Kordzakhia, Yury Kutoyants, Alex Novikov +1
We discuss some extensions of results from the recent paper by Chernoyarov et al. (Ann. Inst. Stat. Math., October 2016) concerning limit distributions of Bayesian and maximum like…
Pricing of Asian-type and Basket Options via Upper and Lower Bounds
Alexander Novikov, Scott Alexander, Nino Kordzakhia +1
This paper sets out to provide a general framework for the pricing of average-type options via lower and upper bounds. This class of options includes Asian, basket and options on t…
New and refined bounds for expected maxima of fractional Brownian motion
Konstantin Borovkov, Yuliya Mishura, Alexander Novikov +1
For the fractional Brownian motion with the Hurst parameter value in (0,1/2), we derive new upper and lower bounds for the difference between the expectations of the maxi…
Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement
Johan G. Andreasson, Pavel V. Shevchenko, Alex Novikov
In this paper, we develop an expected utility model for the retirement behavior in the decumulation phase of Australian retirees with sequential family status subject to consumptio…
Bounds for expected maxima of Gaussian processes and their discrete approximations
Konstantin Borovkov, Yuliya Mishura, Alexander Novikov +1
The paper deals with the expected maxima of continuous Gaussian processes that are Hölder continuous in -norm and/or satisfy the opposite inequality for t…