A. Novikov

发表

Statistics and control of stochastic processes

N. Krylov, Alʹbert Nikolaevich Shiri︠a︡ev, R. S. Lipt︠s︡er, 1985 .

EXPLICIT BOUNDS FOR APPROXIMATION RATES FOR BOUNDARY CROSSING PROBABILITIES FOR THE

A. Novikov, K. Borovkov, 2007 .

Approximations of boundary crossing probabilities for a Brownian motion

A. Novikov, V. Frishling, N. Kordzakhia, 1999 .

On an Identity for Stochastic Integrals

A. Novikov, 1973 .

Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component

A. Novikov, 2004 .

First Passage Time of Filtered Poisson Process with Exponential Shape Function

R. Melchers, A. Novikov, N. Kordzakhia, 2003 .

Martingales and first passage times of AR(1) sequences

A. Novikov, N. Kordzakhia, 2007, 0712.3468.

Sequential estimation of the parameters of diffusion processes

A. Novikov, 1972 .

Statistics and control of random processes

Alexander Novikov, Alʹbert Nikolaevich Shiri︠a︡ev, A. Novikov, 1995 .

On Stochastic Approximation Procedures with Averaging

A. Novikov, A. Breton, 2000 .

Some results about averaging in stochastic approximation

Alexander Novikov, Alain Le Breton, A. Novikov, 1995 .

Remarks on moment inequalities and identities for martingales

A. Shiryaev, A. Novikov, 2013 .

Anderson localization of classical waves in weakly scattering one-dimensional Levy lattices

A. Novikov, A. Asatryan, 2018, Physical Review B.

ON AN EFFECTIVE SOLUTION OF THE OPTIMAL STOPPING PROBLEM FOR RANDOM WALKS

A. Shiryaev, A. Novikov, 2004 .

New and refined bounds for expected maxima of fractional Brownian motion

A. Novikov, K. Borovkov, Y. Mishura, 2016, Statistics & Probability Letters.

ANALYTICAL APPROXIMATIONS FOR DETECTION OF A CHANGE- POINT IN CASE OF LIGHT-TAILED DISTRIBUTIONS

A. Novikov, S. Sukparungsee, 2008 .

BOUNDS on PRICES for ASIAN OPTIONS VIA FOURIER METHODS

A. Novikov, N. Kordzakhia, Scott Alexander, 2016 .

Approximations of boundary crossing probabilities for a Brownian motion

A. Novikov, V. Frishling, N. Kordzakhia, 1999, Journal of Applied Probability.

Contemporary quantitative finance : essays in honour of Eckhard Platen

C. Chiarella, A. Novikov, 2010 .

Pricing of Asian-Type and Basket Options via Bounds

A. Novikov, N. Kordzakhia, Scott Alexander, 2017 .

Stochastic and statistical analysis of long-range dependent processes with `Mathematica'

A. Novikov, N. Kordzakhia, 1997 .

A Structural Model with Unobserved Default Boundary

A. Novikov, Thorsten Schmidt, 2008 .

MARTINGALE APPROACH TO EWMA CONTROL CHARTS FOR CHANGES IN EXPONENTIAL DISTRIBUTION

A. Novikov, Y. Areepong, 2008 .

On lower and upper bounds for Asian-type options: a unified approach

A. Novikov, N. Kordzakhia, 2013, 1309.2383.

On distibutions of first passage times of martingales arising in some gambling problems

A. Novikov, S. Kaji, 2017 .

Numerical Approximations to Distributions of Weighted Kolmogorov-Smirnov Statistics via Integral Equations

A. Novikov, N. Kordzakhia, Dan Wu, 2019, 2017 MATRIX Annals.

Numerical approximations to weighted Kolmogorov-Smirnov Distributions via Integral Equations

A. Novikov, N. Kordzakhia, Dan Wu, 2018 .

Approximations for weighted Kolmogorov–Smirnov distributions via boundary crossing probabilities

Alexander Novikov, Bernard Ycart, Nino Kordzakhia, 2017, Stat. Comput..

Bounds and approximations for distributions of weighted Kolmogorov-Smirnov tests

A. Novikov, N. Kordzakhia, 2017 .

ON ESTIMATES AND THE ASYMPTOTIC BEHAVIOR OF NONEXIT PROBABILITIES OF A WIENER PROCESS TO A MOVING BOUNDARY

A. Novikov, 1981 .

Continuity Theorems in Boundary Crossing Problems for Diffusion Processes

A. Novikov, K. Borovkov, A. Downes, 2010 .

On Discontinuous Martingales

Alexander Novikov, A. Novikov, 1975 .

On Moment Inequalities for Stochastic Integrals

A. Novikov, 1971 .

Optimal Consumption, Investment and Housing with Means-Tested Public Pension in Retirement

A. Novikov, P. Shevchenko, J. Andreasson, 2016, 1606.08984.

On a solution of the optimal stopping problem for processes with independent increments

Alexander Novikov, Albert N. Shiryaev, A. Shiryaev, 2006 .

On exit times of Levy-driven Ornstein–Uhlenbeck processes

A. Novikov, K. Borovkov, K. Borovkov, 2007, 0709.1746.

On the First Passage Time of an Autoregressive Process over a Level and an Application to a “Disorder” Problem

Alexander Novikov, A. Novikov, 1991 .

EXPLICIT BOUNDS FOR APPROXIMATION RATES OF BOUNDARY CROSSING PROBABILITIES FOR THE WIENER PROCESS

Alexander Novikov, Konstantin Borovkov, A. Novikov, 2005 .

QUANTITATIVE FINANCE RESEARCH CENTRE

A. Novikov, 2004 .

ON ESTIMATES AND THE ASYMPTOTIC BEHAVIOR OF THE PROBABILITY OF NONINTERSECTION OF MOVING BOUNDARIES BY SUMS OF INDEPENDENT RANDOM VARIABLES

A. Novikov, 1981 .

Geometric Lévy Process Pricing Model

A. Novikov, Y. Miyahara, 2001 .

On some maximal inequalities for fractional Brownian motions

Alexander Novikov, Esko Valkeila, A. Novikov, 1999 .

On a piece-wise deterministic Markov process model

Alexander Novikov, Konstantin Borovkov, A. Novikov, 2001 .

Lévy Processes and Stochastic Calculus

Alexander Novikov, A. Novikov, 2005 .

Bounds for expected maxima of Gaussian processes and their discrete approximations

A. Novikov, K. Borovkov, Y. Mishura, 2015, 1508.00099.

On a representation of fractional Brownian motion and the limit distributions of statistics arising in cusp statistical models

Y. Kutoyants, A. Novikov, N. Kordzakhia, 2017, 1705.01287.

Time-Dependent Barrier Options and Boundary Crossing Probabilities

Alexander Novikov, Nino Kordzakhia, A. Novikov, 2003 .

On a new approach to calculating expectations for option pricing

A. Novikov, K. Borovkov, 2002, Journal of Applied Probability.

An Elementary Approach to Optimal Stopping Problems for AR(1) Sequences

A. Irle, A. Novikov, S. Christensen, 2011 .

On moments of Pitman estimators: the case of fractional Brownian Motion

A. Novikov, N. Kordzakhia, T. Ling, 2014, 1406.1336.

Pricing of Defaultable Securities under Stochastic Interest

A. Novikov, N. Kordzakhia, 2008 .

On Stopping Times for a Wiener Process

Alexander Novikov, A. Novikov, 1971 .