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Invariant surfaces for certain classes of systems of the second-order to stochastic diﬀerential equations with jumps

Visnyk Kyïvsʹkoho universytetu. Serii͡a︡--Fizyko-matematychni nauky (2009), 2022-12 (3), p.22-27

2022

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Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes

Theory of probability and mathematical statistics, 2021-01, Vol.104, p.23-47

2021

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Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises

Theory of probability and mathematical statistics, 2019, Vol.98, p.149-170

2019

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Evaluation of extreme values of entropy functionals

Theory of probability and mathematical statistics, 2019, Vol.99, p.199-210

2019

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Stochastic representation and path properties of a fractional Cox--Ingersoll--Ross process

Theory of probability and mathematical statistics, 2018, Vol.97, p.167-182

2018

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Minimization of the entropy for a mixture of standard and fractional Brownian motions

Theory of probability and mathematical statistics, 2020, Vol.101, p.193-215

2020

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Stochastic differential equations driven by a Wiener process and fractional Brownian motion: Convergence in Besov space with respect to a parameter

Computers & mathematics with applications (1987), 2011-08, Vol.62 (3), p.1166-1180

2011

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Weak convergence of integral functionals constructed from solutions of Itô’s stochastic differential equations with non-regular dependence on a parameter

Theory of probability and mathematical statistics, 2018-10, Vol.96, p.111-125

2018

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Rate of convergence of option prices by using the method of pseudomoments

Theory of probability and mathematical statistics, 2016, Vol.92, p.117-133

2016

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An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility

Theory of probability and mathematical statistics, 2017, Vol.94, p.97-120

2017

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Rate of convergence of option prices for approximations of the geometric Ornstein--Uhlenbeck process by Bernoulli jumps of prices on assets

Theory of probability and mathematical statistics, 2016, Vol.93, p.137-152

2016

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Professor Yu.V. Kozachenko (01.12.1940 - 05.05.2020) - prominent scientist and teacher

Visnyk Kyïvsʹkoho universytetu. Serii͡a︡--Fizyko-matematychni nauky (2009), 2020 (3), p.9-29

2020

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Analytic properties of infinite-horizon survival probability in a risk model with additional funds

Theory of probability and mathematical statistics, 2015, Vol.91, p.131-143

2015

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Asymptotic behavior of the martingale type integral functionals for unstable solutions to stochastic differential equations

Theory of probability and mathematical statistics, 2015-08, Vol.90, p.115-126

2015

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Limit behavior of functionals of solutions of diffusion type equations

Theory of probability and mathematical statistics, 2016, Vol.92, p.93-107

2016

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Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent

Theory of probability and mathematical statistics, 2015-08, Vol.90, p.13-22

2015

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News of Scientific Life

Theory of probability and its applications, 2014-01, Vol.58 (1), p.172-172

2014

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The weak convergence of Greek symbols for prices of European options: from discrete time to continuous

Theory of probability and mathematical statistics, 2015, Vol.91, p.93-104

2015

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Stochastic differential equations with generalized stochastic volatility and statistical estimators

Theory of probability and mathematical statistics, 2018, Vol.96, p.1-13

2018

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Convergence of exit times for diffusion processes

Theory of probability and mathematical statistics, 2014, Vol.88, p.139-149

2014

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Strong limit theorems for anisotropic self-similar fields

Modern Stochastics: Theory and Applications, 2014-06, Vol.1 (1), p.73-93

2014

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Optimal stopping time problem for random walks with polynomial reward functions

Theory of probability and mathematical statistics, 2013, Vol.86, p.155-167

2013

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The distance between fractional Brownian motion and the subspace of martingales with ``similar'' kernels

Theory of probability and mathematical statistics, 2014-03, Vol.87, p.41-49

2014

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Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure

Ukrainian mathematical journal, 2011-06, Vol.63 (1), p.49-73

2011

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Limit behavior of the prices of a barrier option in the Black--Scholes model with random drift and volatility

Theory of probability and mathematical statistics, 2012, Vol.84, p.99-106

2012

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Invariant surfaces for certain classes of systems of the second-order to stochastic diﬀerential equations with jumps

Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes

Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises

Evaluation of extreme values of entropy functionals

Stochastic representation and path properties of a fractional Cox--Ingersoll--Ross process

Minimization of the entropy for a mixture of standard and fractional Brownian motions

Stochastic differential equations driven by a Wiener process and fractional Brownian motion: Convergence in Besov space with respect to a parameter

Weak convergence of integral functionals constructed from solutions of Itô’s stochastic differential equations with non-regular dependence on a parameter

Rate of convergence of option prices by using the method of pseudomoments

An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility

Rate of convergence of option prices for approximations of the geometric Ornstein--Uhlenbeck process by Bernoulli jumps of prices on assets

Professor Yu.V. Kozachenko (01.12.1940 - 05.05.2020) - prominent scientist and teacher

Analytic properties of infinite-horizon survival probability in a risk model with additional funds

Asymptotic behavior of the martingale type integral functionals for unstable solutions to stochastic differential equations

Limit behavior of functionals of solutions of diffusion type equations

Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent

News of Scientific Life

The weak convergence of Greek symbols for prices of European options: from discrete time to continuous

Stochastic differential equations with generalized stochastic volatility and statistical estimators

Convergence of exit times for diffusion processes

Strong limit theorems for anisotropic self-similar fields

Optimal stopping time problem for random walks with polynomial reward functions

The distance between fractional Brownian motion and the subspace of martingales with ``similar'' kernels

Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure

Limit behavior of the prices of a barrier option in the Black--Scholes model with random drift and volatility

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