4 citations · 6 across the 6 of their papers we have counts for
10 papers
Policy with stochastic hysteresis
Georgii Riabov, Aleh Tsyvinski
The paper develops a general methodology for analyzing policies with path-dependency (hysteresis) in stochastic models with forward looking optimizing agents. Our main application…
On a Brownian motion conditioned to stay in an open set
Georgii V. Riabov
Distribution of a Brownian motion conditioned to start from the boundary of an open set and to stay in for a finite period of time is studied. Characterizations of such dis…
Duality for coalescing stochastic flows on the real line
Georgii V. Riabov
For a class of coalescing stochastic flows on the real line the existence of dual flows is proved. A stochastic flow and its dual are constructed as a forward and backward perfect…
Stationary points in coalescing stochastic flows on
Andrey A. Dorogovtsev, Georgii V. Riabov, Björn Schmalfuß
This work is devoted to long-time properties of the Arratia flow with drift -- a stochastic flow on whose one-point motions are weak solutions to a stochastic differen…
Random dynamical systems generated by coalescing stochastic flows on
G. V. Riabov
Existence of random dynamical systems for a class of coalescing stochastic flows on is proved. A new state space for coalescing flows is built. As particular cases coa…
A representation for the Kantorovich--Rubinstein distance on the abstract Wiener space
Georgii Riabov
A representation for the Kantorovich--Rubinstein distance between probability measures on an abstract Wiener space in terms of the extended stochastic integral (or, divergence) ope…
Clark formula for local time for one class of Gaussian processes
Andrey Dorogovtsev, Olga Izyumtseva, Georgii Riabov +1
In the article we present chaotic decomposition and analog of the Clark formula for the local time of Gaussian integrators. Since the integral with respect to Gaussian integrator i…
Krylov-Veretennikov formula for functionals from the stopped Wiener process
G. V. Riabov
We consider a class of measures absolutely continuous with respect to the distribution of the stopped Wiener process . Multiple stochastic integrals, that lead to…
Itô-Wiener expansion for functionals of the Arratia's flow -point motion
Georgii Riabov
The structure of square integrable functionals measurable with respect to the point motion of the Arratia flow is studied. Relying on the change of measure technique, a new con…
Transformations of Wiener Measure and Orthogonal Expansions
Andrey A. Dorogovtsev, Georgii V. Riabov
In this paper we study the structure of square integrable functionals measurable with respect to coalescing stochastic flows. The case of space generated by the process $η(\c…