Sergey Pergamenshchikov
Names
| first: | Sergey |
| last: | Pergamenshchikov |
Identifer
| RePEc Short-ID: | ppe683 |
Contact
| homepage: | http://lmrs.univ-rouen.fr/Persopage/Pergamenchtchikov/publications.html |
Affiliations
-
National Research University Higher School of Economics (HSE)
/ International Laboratory of Quantitative Finance (weight: 50%)
- EDIRC entry
- location:
-
Laboratoire de Mathematiques Raphael Salem (weight: 50%)
- http://lmrs.univ-rouen.fr
- location: France, Rouen
Research profile
author of:
- Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters (RePEc:arx:papers:1210.5111)
by Belkacem Berdjane & Sergei Pergamenshchikov - Ruin probability in the presence of risky investments (RePEc:eee:spapps:v:116:y:2006:i:2:p:267-278)
by Pergamenshchikov, Serguei & Zeitouny, Omar - Uniform concentration inequality for ergodic diffusion processes (RePEc:eee:spapps:v:117:y:2007:i:7:p:830-839)
by Galtchouk, L. & Pergamenshchikov, S. - Uniform concentration inequality for ergodic diffusion processes observed at discrete times (RePEc:eee:spapps:v:123:y:2013:i:1:p:91-109)
by Galtchouk, L. & Pergamenshchikov, S. - Asymptotically efficient estimates for nonparametric regression models (RePEc:eee:stapro:v:76:y:2006:i:8:p:852-860)
by Galtchouk, L. & Pergamenshchikov, S. - Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters (RePEc:hal:wpaper:hal-00743164)
by Belkacem Berdjane & Sergei Pergamenshchikov - Approximate hedging problem with transaction costs in stochastic volatility markets (RePEc:hal:wpaper:hal-00747689)
by Huu Thai Nguyen & Serguei Pergamenchtchikov - Approximate hedging problem with transaction costs in stochastic volatility markets (RePEc:hal:wpaper:hal-00808608)
by Huu Thai Nguyen & Serguei Pergamenchtchikov - Improved Model Selection Method for a Regression Function with Dependent Noise (RePEc:spr:aistmt:v:59:y:2007:i:3:p:435-464)
by D. Fourdrinier & S. Pergamenshchikov - General model selection estimation of a periodic regression with a Gaussian noise (RePEc:spr:aistmt:v:62:y:2010:i:6:p:1083-1111)
by Victor Konev & Serguei Pergamenchtchikov - Optimal consumption and investment for markets with random coefficients (RePEc:spr:finsto:v:17:y:2013:i:2:p:419-446)
by Belkacem Berdjane & Serguei Pergamenshchikov - In the insurance business risky investments are dangerous (RePEc:spr:finsto:v:6:y:2002:i:2:p:227-235)
by Anna Frolova & Serguei Pergamenshchikov & Yuri Kabanov - Asymptotic Expansions for the Stochastic Approximation Averaging Procedure in Continuous Time (RePEc:spr:sistpr:v:1:y:1998:i:2:p:197-223)
by S. Pergamenshchikov - Sequential Estimation of the Parameters in a Trigonometric Regression Model with the Gaussian Coloured Noise (RePEc:spr:sistpr:v:6:y:2003:i:3:p:215-235)
by V. Konev & S. Pergamenshchikov - Asymptotically Efficient Sequential Kernel Estimates of the Drift Coefficient in Ergodic Diffusion Processes (RePEc:spr:sistpr:v:9:y:2006:i:1:p:1-16)
by L. Galtchouk & S. Pergamenshchikov