14 citations · 30 across the 9 of their papers we have counts for
10 papers
On ruin probabilities with investments in a risky asset with a switching regime price
Yuri Kabanov, Serguei Pergamenshchikov
We investigate the asymptotic of ruin probabilities when the company invests its reserve in a risky asset with a switching regime price. We assume that the asset price is a conditi…
Improved estimation via model selection method for semimartingale regressions based on discrete data
Evgeny A. Pchelintsev, Serguei M. Pergamenshchikov, Maria A. Povzun
We consider the robust adaptive nonparametric estimation problem for a periodic function observed in the framework of a continuous time regression model with semimartingale noises.
Adaptive model selection method for a conditionally Gaussian semimartingale regression in continuous time
Evgeny Pchelintsev, Serguei Pergamenshchikov
This paper considers the problem of robust adaptive efficient estimating of a periodic function in a continuous time regression model with the dependent noises given by a general s…
Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with logarithmic utility
Sahar Albosaily, Serguei Pergamenshchikov
We consider a spread financial market defined by the multidimensional Ornstein--Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility…
Oracle inequalities for the stochastic differential equations
Evgeny Pchelintsev, Serguei Pergamenshchikov
This paper is a survey of recent results on the adaptive robust non parametric methods for the continuous time regression model with the semi - martingale noises with jumps. The no…
Robust adaptive efficient estimation for a semi-Markov continuous time regression from discrete data
Vlad Stefan Barbu, Slim Beltaief, Serguei Pergamenshchikov
In this article we consider the nonparametric robust estimation problem for regression models in continuous time with semi-Markov noises observed in discrete time moments. An adapt…
Improved robust model selection methods for the Levy nonparametric regression in continuous time
Evgeny Pchelintsev, Valerii Pchelintsev, Serguei Pergamenshchikov
In this paper we develop the James - Stein improved estimation method for a nonparametric periodic function observed with the Levy noises in continuous time. An adaptive model sele…
In the Life Insurance Business Risky Investments are Dangerous
Yuri Kabanov, Serguei Pergamenshchikov
We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an…
Approximate hedging problem with transaction costs in stochastic volatility markets
Thai Huu Nguyen, Serguei Pergamenshchikov
This paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Lel…
Sequential -optimal consumption and investment for stochastic volatility markets with unknown parameters
Belkacem Berdjane, Sergei Pergamenshchikov
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parame…