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Gushchin Alexander Alexandrovich
(recent publications)
| by years | scientific publications | by types |

1. Dmitriy Borzykh, Alexander Gushchin, “On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions”, Mod. Stoch., Theory Appl., 9:3 (2022), 265–277  mathnet  crossref;

2. Alexander A. Gushchin, Assylliya K. Zhunussova, “Single jump filtrations: preservation of the local martingale property with respect to the filtration generated by the local martingale”, Operator Theory and Harmonic Analysis, OTHA 2020, Springer Proc. Math. Statist., 358, Springer, Cham, 2021, 219–231  mathnet  crossref  scopus;

3. Alexander Gushchin, Ilya Pavlyukevich, Marian Ritsch, “Drift estimation for a L\evy–driven Ornstein–Uhlenbeck process with heavy tails”, Stat. Inference Stoch. Process., 23:3 (2020), 553–570  mathnet  crossref  mathscinet  isi (cited: 2)  scopus (cited: 2)
4. Alexander A. Gushchin, “Single jump filtrations and local martingales”, Mod. Stoch., Theory Appl., 7:2 (2020), 135–156  mathnet  crossref  mathscinet  isi (cited: 1)  scopus (cited: 1)

5. A. A. Gushchin, “The joint law of a max-continuous local submartingale and its maximum”, Theory Probab. Appl., 65:4 (2021), 545–557  mathnet  crossref  crossref  mathscinet  isi (cited: 1)

6. A. A. Gushchin, M. A. Urusov, “Minimal embeddings of integrable processes in a Brownian motion”, Russian Math. Surveys, 74:5 (2019), 953–955  mathnet  crossref  crossref  mathscinet  adsnasa  adsnasa  isi (cited: 1)  elib  scopus

7. A. A. Gushchin, S. S. Leshchenko, “Testing hypotheses for measures with different masses: Four optimization problems”, Theory Probab. Math. Stat., 101 (2020), 109–117  mathnet  crossref  isi  scopus

8. Alexander Gushchin, Nino Kordzakhia, Alexander Novikov, “Translation invariant statistical experiments with independent increments”, Stat. Inference Stoch. Process., 21:2 (2018), 363–383  mathnet  crossref  mathscinet  scopus (cited: 1)
9. A. A. Gushchin, “On possible relations between an increasing process and its compensator in the non-integrable case”, Russian Math. Surveys, 73:5 (2018), 928–930  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  adsnasa  isi  elib  scopus (cited: 1)
10. A. A. Gushchin, “The joint law of terminal values of a nonnegative submartingale and its compensator”, Theory Probab. Appl., 62:2 (2018), 216–235  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 3)  elib  scopus (cited: 3)

11. Alexander Gushchin and Esko Valkeila, “Quadratic Approximation for Log-Likelihood Ratio Processes”, Modern Problems of Stochastic Analysis and Statistics, Selected Contributions in Honor of Valentin Konakov, Springer Proceedings in Mathematics & Statistics, 208, eds. Vladimir Panov, Springer International Publishing AG, Cham, 2017, 179–215  mathnet  crossref  mathscinet  zmath  scopus (cited: 1)
12. A. A. Gushchin, D. A. Borzykh, “Integrated quantile functions: properties and applications”, Mod. Stoch., Theory Appl., 4:4 (2017), 285–314  mathnet  crossref  mathscinet  isi (cited: 4)

13. A. A. Gushchin, “The minimum increment of $f$-divergences given total variation distances”, Math. Methods Statist., 25:4 (2016), 304–312  mathnet  crossref  mathscinet  zmath  isi (cited: 1)  elib  scopus (cited: 1)

14. A. Gushchin, “A characterization of maximin tests for two composite hypotheses”, Math. Methods Statist., 24:2 (2015), 110–121  mathnet  crossref  mathscinet  zmath  elib  scopus (cited: 2)
15. Alexander A. Gushchin, Stochastic calculus for quantitative finance, ISTE, London; Elsevier, Kidlington, 2015 , 208 pp. www.sciencedirect.com/science/book/9781785480348  mathscinet  zmath  scopus (cited: 5)

16. A. A. Gushchin, M. A. Urusov, “Processes that can be embedded in a geometric Brownian motion”, Theory Probab. Appl., 60:2 (2016), 246–262  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 3)  elib  elib  scopus (cited: 1)

17. A. A. Gushchin, R. V. Khasanov, I. S. Morozov, “Some functional analytic tools for utility maximization”, Modern stochastics and applications, Springer Optimization and Its Applications, 90, eds. V. Korolyuk, N. Limnios, Y. Mishura, L. Sakhno, G. Shevchenko, Springer, 2014, 267–285  mathnet  crossref  mathscinet  zmath  scopus (cited: 1)
18. A. A. Gushchin, “On pathwise counterparts of Doob's maximal inequalities”, Proc. Steklov Inst. Math., 287:1 (2014), 118–121  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 1)  elib  elib  scopus (cited: 1)
19. Alexander Gushchin, Mikhail Urusov, Mihail Zervos, “On the submartingale/supermartingale property of diffusions in natural scale”, Proc. Steklov Inst. Math., 287:1 (2014), 122–132  mathnet  crossref  crossref  mathscinet  mathscinet  zmath  isi (cited: 6)  elib (cited: 2)  elib (cited: 2)  scopus (cited: 6)
20. Stokhasticheskoe ischislenie, martingaly i ikh primeneniya, Sbornik statei. K 80-letiyu so dnya rozhdeniya akademika Alberta Nikolaevicha Shiryaeva, Trudy MIAN, 287, ed. A. A. Guschin, A. G. Sergeev, MAIK Nauka/Interperiodika, M., 2014 , 319 pp.  mathnet

21. A. A. Gushchin, “On the upper hedging price of nonnegative contingent claims”, Modern problems of mathematics and mechanics. Volume VIII. Mathematics. Issue 3. To the 80th anniversary of Mechanics and Mathematics Department of MSU, eds. A. N. Shiryaev, A. V. Lebedev, MSU Press, Moscow, 2013, 60–72
22. A. A. Gushchin, “A characterization of a minimax test in the problem of testing two composite hypotheses”, Dokl. Math., 87:3 (2013), 345–347  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 1)  elib (cited: 1)  elib (cited: 1)  scopus (cited: 1)
23. A. A. Gushchin, “On a connection between superhedging prices and the dual problem in utility maximization”, Advanced finance and stochastics, Book of Abstracts (Moscow, 24–28 June 2013), eds. M. Zhitlukhin and A. Muravlev, Steklov Mathematical Institute, Moscow, 2013, 60–61
24. A. Gushchin, “Translation invariant statistical experiments with independent increments”, Russian-Chinese Seminar on Asymptotic Methods in Probability Theory and Mathematical Statistics. Programme and Abstracts (St.Petersburg, 10–14 June, 2013), The Euler International Mathematical Institute, 2013, 24 http://www.pdmi.ras.ru/EIMI/2013/RChS/prog.pdf

25. A. A. Gushchin, “On a structure of a minimax test in testing composite hypotheses”, International conference “Stochastic Optimization and Optimal Stopping”. Book of abstracts (Moscow, 24–28 September 2012), eds. Mikhail Zhitlukhin and Alexey Muravlev, Steklov Mathematical Institute, Moscow, 2012, 79–80

26. A. A. Gushchin, U. Küchler, “On estimation of delay location”, Stat. Inference Stoch. Process., 14:3 (2011), 273–305  crossref  mathscinet  zmath  elib (cited: 2)  scopus (cited: 3)
27. A. A. Gushchin, “Utility maximization in some markets admitting arbitrage”, Theory Probab. Appl., 55:3 (2011), 548  mathnet  crossref  crossref  mathscinet  isi  elib
28. A. A. Gushchin, “Dual characterization of the value function in the robust utility maximization problem”, Theory Probab. Appl., 55:4 (2011), 611–630  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 2)  elib (cited: 1)  elib (cited: 1)  scopus (cited: 4)
29. Yu. S. Mishura, A. A. Gushchin, “International Conference “Modern Stochastics: Theory and Applications II””, Theory Probab. Appl., 55:4 (2011), 732  mathnet  crossref  mathscinet  elib

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