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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 Weak Solutions of Highly Degenerate SDEs

Veretennikov A.

Automation and Remote Control. 2020. Vol. 81. No. 3. P. 398-410.

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
On convergence rate for homogeneous Markov chains

Veretennikov A., Veretennikova M.

Working papers by Cornell University. Cornell University, 2019

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"

Congratulations to Anna Kozhina with the Heidelberg University Prize

International workshop LSA winter meeting 2018

International laboratory of stochastic analysis and its applications organized on 03-07 of December 2018 the international conference "LSA winter meeting 2018" with the participation of leading foreign researchers

Mini-course «Monte Carlo methods for optimal stochastic control»

From 26 November to 30 November, associate professor of Leeds University (UK) Jan Palczewski delivered a mini-course «Monte Carlo methods for optimal stochastic control»