On stationary solutions of delay differential equations driven by a Lévy process. Zbl 1045.60057
Gushchin, Alexander A.; Küchler, Uwe |
|
2000
|
Asymptotic inference for a linear stochastic differential equation with time delay. Zbl 0983.62049
Gushchin, Alexander A.; Küchler, Uwe |
|
1999
|
On the general theory of random fields on the plane. Zbl 0515.60053
Gushchin, A. A. |
|
1982
|
Bounds on option prices for semimartingale market models. Zbl 1113.91319
Gushchin, A. A.; Mordecki, E. |
|
2002
|
On an extension of the notion of \(f\)-divergence. Zbl 1206.94015
Gushchin, A. A. |
|
2008
|
The joint law of terminal values of a nonnegative submartingale and its compensator. Zbl 1434.60125
Gushchin, A. A. |
|
2018
|
Integrated quantile functions: properties and applications. Zbl 1383.60019
Gushchin, Alexander A.; Borzykh, Dmitriy A. |
|
2017
|
Single jump filtrations and local martingales. Zbl 1472.60076
Gushchin, Alexander A. |
|
2020
|
Dual characterization of the value function in the robust utility maximization problem. Zbl 1238.91126
Gushchin, A. A. |
|
2011
|
On the submartingale/supermartingale property of diffusions in natural scale. Zbl 1322.60161
Gushchin, Alexander; Urusov, Mikhail; Zervos, Mihail |
|
2014
|
A characterization of maximin tests for two composite hypotheses. Zbl 1327.62087
Gushchin, A. |
|
2015
|
Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails. Zbl 1465.62142
Gushchin, Alexander; Pavlyukevich, Ilya; Ritsch, Marian |
|
2020
|
Approximations and limit theorems for likelihood ratio processes in the binary case. Zbl 1044.62005
Gushchin, A. A.; Valkeila, E. |
|
2003
|
Processes that can be embedded in a geometric Brownian motion. Zbl 1341.60101
Gushchin, A. A.; Urusov, M. A. |
|
2016
|
Stochastic calculus for quantitative finance. Zbl 1331.60001
Gushchin, Alexander A. |
|
2015
|
The Davis inequalities and the Gundy decomposition for two-parameter strong martingales. I. Zbl 0749.60042
Gushchin, A. A.; Mishura, Yu. S. |
|
1990
|
On asymptotic optimality of estimators of parameters under the LAQ condition. Zbl 0898.62031
Gushchin, A. A. |
|
1995
|
On oscillations of the geometric Brownian motion with time-delayed drift. Zbl 1126.60048
Gushchin, Alexander A.; Küchler, Uwe |
|
2004
|
On Fano lemma and analogous inequalities for minimax risk. Zbl 1051.62005
Gushchin, A. A. |
|
2002
|
Testing hypotheses for measures with different masses: four optimization problems. Zbl 1456.62028
Gushchin, A. A.; Leshchenko, S. S. |
|
2020
|
The joint law of a max-continuous local submartingale and its maximum. Zbl 1469.60128
Gushchin, A. A. |
|
2021
|
Minimal embeddings of integrable processes in a Brownian motion. Zbl 1441.60063
Gushchin, A. A.; Urusov, M. A. |
|
2019
|
A characterization of a minimax test in the problem of testing two composite hypotheses. Zbl 1362.62017
Gushchin, A. A. |
|
2013
|
On estimation of delay location. Zbl 1274.62562
Gushchin, Alexander A.; Küchler, Uwe |
|
2011
|
Improvement and generalization of the Cramér-Rao inequality for a filtered space. Zbl 0728.62082
Gushchin, A. A. |
|
1990
|
Quadratic approximation for log-likelihood ratio processes. Zbl 1383.62043
Gushchin, Alexander; Valkeila, Esko |
|
2017
|
Translation invariant statistical experiments with independent increments. Zbl 1403.62012
Gushchin, Alexander; Kordzakhia, Nino; Novikov, Alexander |
|
2018
|
On taking limits under the compensator sign. Zbl 0870.60042
Gushchin, A. A. |
|
1996
|
Addendum to “Asymptotic inference for a linear stochastic differential equation with time delay”. Zbl 1008.62080
Gushchin, Alexander A.; Küchler, Uwe |
|
2001
|
On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions. Zbl 1504.60068
Borzykh, Dmitriy; Gushchin, Alexander |
|
2022
|
On recovery of a measure from its symmetrization. Zbl 1089.28003
Gushchin, A. A.; Küchler, U. |
|
2004
|
The Davis inequalities and the Gundy decomposition for two-parameter strong martingales. III. Zbl 0788.60066
Gushchin, A. A.; Mishura, Yu. S. |
|
1991
|
On pathwise counterparts of Doob’s maximal inequalities. Zbl 1325.60064
Gushchin, A. A. |
|
2014
|
Some functional analytic tools for utility maximization. Zbl 1328.91267
Gushchin, Alexander A.; Khasanov, Ruslan V.; Morozov, Ivan |
|
2014
|
On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions. Zbl 1504.60068
Borzykh, Dmitriy; Gushchin, Alexander |
|
2022
|
The joint law of a max-continuous local submartingale and its maximum. Zbl 1469.60128
Gushchin, A. A. |
|
2021
|
Single jump filtrations and local martingales. Zbl 1472.60076
Gushchin, Alexander A. |
|
2020
|
Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails. Zbl 1465.62142
Gushchin, Alexander; Pavlyukevich, Ilya; Ritsch, Marian |
|
2020
|
Testing hypotheses for measures with different masses: four optimization problems. Zbl 1456.62028
Gushchin, A. A.; Leshchenko, S. S. |
|
2020
|
Minimal embeddings of integrable processes in a Brownian motion. Zbl 1441.60063
Gushchin, A. A.; Urusov, M. A. |
|
2019
|
The joint law of terminal values of a nonnegative submartingale and its compensator. Zbl 1434.60125
Gushchin, A. A. |
|
2018
|
Translation invariant statistical experiments with independent increments. Zbl 1403.62012
Gushchin, Alexander; Kordzakhia, Nino; Novikov, Alexander |
|
2018
|
Integrated quantile functions: properties and applications. Zbl 1383.60019
Gushchin, Alexander A.; Borzykh, Dmitriy A. |
|
2017
|
Quadratic approximation for log-likelihood ratio processes. Zbl 1383.62043
Gushchin, Alexander; Valkeila, Esko |
|
2017
|
Processes that can be embedded in a geometric Brownian motion. Zbl 1341.60101
Gushchin, A. A.; Urusov, M. A. |
|
2016
|
A characterization of maximin tests for two composite hypotheses. Zbl 1327.62087
Gushchin, A. |
|
2015
|
Stochastic calculus for quantitative finance. Zbl 1331.60001
Gushchin, Alexander A. |
|
2015
|
On the submartingale/supermartingale property of diffusions in natural scale. Zbl 1322.60161
Gushchin, Alexander; Urusov, Mikhail; Zervos, Mihail |
|
2014
|
On pathwise counterparts of Doob’s maximal inequalities. Zbl 1325.60064
Gushchin, A. A. |
|
2014
|
Some functional analytic tools for utility maximization. Zbl 1328.91267
Gushchin, Alexander A.; Khasanov, Ruslan V.; Morozov, Ivan |
|
2014
|
A characterization of a minimax test in the problem of testing two composite hypotheses. Zbl 1362.62017
Gushchin, A. A. |
|
2013
|
Dual characterization of the value function in the robust utility maximization problem. Zbl 1238.91126
Gushchin, A. A. |
|
2011
|
On estimation of delay location. Zbl 1274.62562
Gushchin, Alexander A.; Küchler, Uwe |
|
2011
|
On an extension of the notion of \(f\)-divergence. Zbl 1206.94015
Gushchin, A. A. |
|
2008
|
On oscillations of the geometric Brownian motion with time-delayed drift. Zbl 1126.60048
Gushchin, Alexander A.; Küchler, Uwe |
|
2004
|
On recovery of a measure from its symmetrization. Zbl 1089.28003
Gushchin, A. A.; Küchler, U. |
|
2004
|
Approximations and limit theorems for likelihood ratio processes in the binary case. Zbl 1044.62005
Gushchin, A. A.; Valkeila, E. |
|
2003
|
Bounds on option prices for semimartingale market models. Zbl 1113.91319
Gushchin, A. A.; Mordecki, E. |
|
2002
|
On Fano lemma and analogous inequalities for minimax risk. Zbl 1051.62005
Gushchin, A. A. |
|
2002
|
Addendum to “Asymptotic inference for a linear stochastic differential equation with time delay”. Zbl 1008.62080
Gushchin, Alexander A.; Küchler, Uwe |
|
2001
|
On stationary solutions of delay differential equations driven by a Lévy process. Zbl 1045.60057
Gushchin, Alexander A.; Küchler, Uwe |
|
2000
|
Asymptotic inference for a linear stochastic differential equation with time delay. Zbl 0983.62049
Gushchin, Alexander A.; Küchler, Uwe |
|
1999
|
On taking limits under the compensator sign. Zbl 0870.60042
Gushchin, A. A. |
|
1996
|
On asymptotic optimality of estimators of parameters under the LAQ condition. Zbl 0898.62031
Gushchin, A. A. |
|
1995
|
The Davis inequalities and the Gundy decomposition for two-parameter strong martingales. III. Zbl 0788.60066
Gushchin, A. A.; Mishura, Yu. S. |
|
1991
|
The Davis inequalities and the Gundy decomposition for two-parameter strong martingales. I. Zbl 0749.60042
Gushchin, A. A.; Mishura, Yu. S. |
|
1990
|
Improvement and generalization of the Cramér-Rao inequality for a filtered space. Zbl 0728.62082
Gushchin, A. A. |
|
1990
|
On the general theory of random fields on the plane. Zbl 0515.60053
Gushchin, A. A. |
|
1982
|