5 papers
On efficient estimates of the rate of convergence for Markov chains
Alexander Veretennikov
The paper presents efficient approaches for evaluating convergence rate in total variation for finite and general linear Markov chains. The motivation for studying convergence rate…
On Bellman equation in the limit order optimization problem for high-frequency trading
M. I. Balakaeva, A. Yu. Veretennikov
An approximation method for construction of optimal strategies in the bid \& ask limit order book in the high-frequency trading (HFT) is studied. The basis is the article by M. Ave…
On strong solution of a multidimensional SDE: extension of Yamada -- Watanabe's theorem
A. A. Lyappieva, A. Yu. Veretennikov
A new strong uniqueness result for a multidimensional SDE with a non-degenerate diffusion and partially irregular drift is established. It may be regarded as a combined variation o…
On strong law of large numbers for non identically distributed random variables
I. V. Kozlov, A. Yu. Veretennikov
A new version of a strong law of large numbers for a ``good'' pairwise independent sequence of random variables (r.v.'s) with a small part of ``bad'' dependent r.v.'s is proposed.…
On mixed partial derivatives of modified Bernstein-Stancu polynomials for functions of several variables
N. M. Mazutskiy, A. Yu. Veretennikov
The goal of the paper is establishing the approximation of mixed partial derivatives of the second order of a function of several variables via modified Bernstein polynomials in th…