85 citations · 361 across the 34 of their papers we have counts for
40 papers
Stochastic selection problem for a Stratonovich SDE with power non-linearity
Ilya Pavlyukevich, Georgiy Shevchenko
In our paper [Bernoulli 26(2), 2020, 1381-1409], we found all strong Markov solutions that spend zero time at of the Stratonovich stochastic differential equation $d X=|X|^α\ci…
Minimax identity with robust utility functional for a non-concave utility
Olena Bahchedjioglou, Georgiy Shevchenko
We study the minimax identity for a non-decreasing upper-semicontinuous utility function satisfying mild growth assumption. In contrast to the classical setting, we do not impose t…
The harmonic mean formula for random processes
Krzysztof Bisewski, Enkelejd Hashorva, Georgiy Shevchenko
Motivated by the harmonic mean formula in [1], we investigate the relation between the sojourn time and supremum of a random process and extend the harmoni…
Tail Measures and Regular Variation
Martin Bladt, Enkelejd Hashorva, Georgiy Shevchenko
A general framework for the study of regular variation (RV) is that of Polish star-shaped metric spaces, while recent developments in [1] have discussed RV with respect to some pro…
Gaussian processes with Volterra kernels
Yuliya Mishura, Georgiy Shevchenko, Sergiy Shklyar
We study Volterra processes , where is a standard Wiener process, and the kernel has the form . This form gen…
Limit theorems for additive functionals of continuous time random walks
Yuri Kondratiev, Yuliya Mishura, Georgiy Shevchenko
For a continuous-time random walk (in general non-Markov), we study the asymptotic behavior, as , of the normalized additive functional $c_t…