Research

The laboratory's scientific research is carried out in the following areas of stochastics:

      ·         Statistical inference for complex structures: algorithms, convergence rates, etc.

      ·         Modeling of jump-type processes with applications to financial time series (asset prices, price indices, etc.).

      ·         Solving applied nonparametric problems in econometrics, medicine, and demography.

      ·         The McKean-Vlasov equations, analysis of solutions and limit theorems.

      ·         Approximation of non-degenerate diffusion processes by Markov chains. Local theorems and error estimates based on various modifications of the
          parametrix method.

      ·         Analysis of degenerate diffusion processes and their approximations by random walks, local and quasi-local limit theorems.

      ·         The mean-field game theory, analysis of stochastic control problems.

      ·         Fractional stochastic differential equations and fractional derivatives.

      ·         Analytical modeling of anomalous diffusions.