• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Laboratory of Stochastic Analysis and its Applications

Differential Equations on Measures and Functional Spaces

Kolokoltsov V.

Switzerland: Birkhauser/Springer, 2019.

On Iteration Improvement for Averaged Expected Cost Control for One-Dimensional Ergodic Diffusions

Anulova S. V., Mai H., Veretennikov A.

SIAM Journal on Control and Optimization. 2020. Vol. 58. No. 4. P. 2312-2331.

Book chapter
The Brownian motion on Aff(R) and quasi-local theorems

Konakov V., Menozzi S., Molchanov S.

In bk.: Contemporary Mathematics. Vol. 739: Probabilistic Methods in Geometry, Topology and Spectral Theory. AMS, 2019. P. 97-124.

Working paper
Extremes of Gaussian non-stationary processes and maximal deviation of projection density estimates

Konakov V., Panov V., Piterbarg V.

math. arxive. Cornell University, 2020. No. 2005.11249.

Lecture "Mean field games with finite state spaces"

In September 25 Vassili Kolokoltsov (University of Warwick, UK; HSE) delivered a lecture «Mean field games with finite state spaces»

Online Course "Introduction to Stochastic Differential Equations"

From 03 April to 29 May professor of the University of Leeds (UK) Alexander Veretennikov delivered an online course «Introduction to Stochastic Differential Equations»

Lectures on Stochastic Differential Equations Driven by Wiener Processes and Poisson Random Measures

In May 22 and September 25 Daria Loukianova (Université d'Évry, France) delivered two lectures «SDEs driven by Wiener processes and Poisson random measures»

Congratulations to the laboratory staff on receiving two Russian Science Foundation grants

Russian Science Foundation announced the results of the 2020 competitive selection of the research proposals "Basic Scientific Research and Exploratory Scientific Research, Conducted by Research Teams"

Mini-course «Ergodic Control of the Diffusion Processes»

From 23 January to 30 January professor of the University of Leeds (UK) Alexander Veretennikov delivered a mini-course «Ergodic control of the diffusion processes»

Mini-course "Introduction to the Theory of Financial Risk"

In December 12 and December 13 2019 a professor of the University of North Carolina at Charlotte (USA) Stanislav Molchanov delivered a mini-course "Introduction to the Theory of Financial Risk"

Lectures «Problems of Ergodic Control for Diffusion Process with Switching»

In September 19 and September 24 professor of the University of Leeds (the UK) Alexander Veretennikov delivered two lectures «Problems of ergodic control for diffusion process with switching»

Mini-course «Electricity Markets and Electricity Trading»

From 09 September to 13 September professor of the École Nationale de la Statistique et de l’Administration Économique (ENSAE ParisTech) Petr Tankov delivered a mini-course «Electricity markets and electricity trading»

Mini-course «Discrete Time Models in Option Pricing»

From 02 September to 05 September professor of the University of Bologna Andrea Pascucci delivered a mini-course «Discrete-time models in option pricing» 

Heavy-tailed and dependent models and robust inference in finance and economics

From 09 April to 16 April,  professor of Finance and Econometrics (Imperial College Business School) Rustam Ibragimov delivered a mini-course "Heavy-tailed and dependent models and robust inference in finance and economics"