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Vladimir Ilich Piterbarg

Personal Details

First Name:Vladimir
Middle Name:Ilich
Last Name:Piterbarg
Suffix:
RePEc Short-ID:ppi536

Affiliation

International Laboratory of Stochastic Analysis
National Research University Higher School of Economics (HSE)

Moscow, Russia
http://lsa.hse.ru/
RePEc:edi:sahseru (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Piterbarg, V.I., 2002. "Discrete vs continuous time for large extremes of Gaussian processes," Econometric Institute Research Papers EI 2002-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Einmahl, J.H.J. & de Haan, L.F.M. & Piterbarg, V.I., 2001. "Nonparametric estimation of the spectral measure of an extreme value distribution," Other publications TiSEM c3485b9b-a0bd-456f-9baa-0, Tilburg University, School of Economics and Management.

Articles

  1. Piterbarg, Vladimir I. & Rodionov, Igor V., 2020. "High excursions of Bessel and related random processes," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 4859-4872.
  2. Jarusková, Daniela & Piterbarg, Vladimir I., 2011. "Log-likelihood ratio test for detecting transient change," Statistics & Probability Letters, Elsevier, vol. 81(5), pages 552-559, May.
  3. Jakob Sidenius & Vladimir Piterbarg & Leif Andersen, 2008. "A New Framework For Dynamic Credit Portfolio Loss Modelling," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 163-197.
  4. Mladenovic, Pavle & Piterbarg, Vladimir, 2008. "On estimation of the exponent of regular variation using a sample with missing observations," Statistics & Probability Letters, Elsevier, vol. 78(4), pages 327-335, March.
  5. Hüsler, Jürg & Piterbarg, Vladimir, 2008. "A limit theorem for the time of ruin in a Gaussian ruin problem," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 2014-2021, November.
  6. Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(1), pages 29-50, January.
  7. Mladenovic, Pavle & Piterbarg, Vladimir, 2006. "On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences," Stochastic Processes and their Applications, Elsevier, vol. 116(12), pages 1977-1991, December.
  8. Hüsler, Jürg & Piterbarg, Vladimir, 2004. "Limit theorem for maximum of the storage process with fractional Brownian motion as input," Stochastic Processes and their Applications, Elsevier, vol. 114(2), pages 231-250, December.
  9. Hüsler, J. & Piterbarg, V., 2004. "On the ruin probability for physical fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 113(2), pages 315-332, October.
  10. Konakov, V. D. & Piterbarg, V. I., 1984. "On the convergence rate of maximal deviation distribution for kernel regression estimates," Journal of Multivariate Analysis, Elsevier, vol. 15(3), pages 279-294, December.

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