IDEAS home Printed from https://ideas.repec.org/f/pgu485.html
   My authors  Follow this author

Alexander Gushchin

Personal Details

First Name:Alexander
Middle Name:
Last Name:Gushchin
Suffix:
RePEc Short-ID:pgu485
http://www.hse.ru/org/persons/93131129

Affiliation

(50%) Математический институт им. В. А. Стеклова РАН

http://www.mi.ras.ru/
Moscow, Russia

(50%) International Laboratory of Quantitative Finance
National Research University Higher School of Economics

Moscow, Russia
http://ilqf.hse.ru/

: +7(495)7713232
+7(495)6287931
Myasnitskaya 20, Moscow 101000
RePEc:edi:qfhseru (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Küchler, Uwe & Gushchin, Alexander A., 2003. "On oscillations of the geometric Brownian motion with time delayed drift," SFB 373 Discussion Papers 2003,8, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  2. Gushchin, Alexander A. & Küchler, Uwe, 2001. "On parametric statistical models for stationary solutions of affine stochastic delay differential equations," SFB 373 Discussion Papers 2001,91, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. Gushchin, Alexander A. & Küchler, Uwe, 1998. "On stationary solutions of delay differential equations driven by a Lévy process," SFB 373 Discussion Papers 1998,98, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  4. Gushchin, Alexander A. & Kuchler, Uwe, 1997. "Asymptotic inference for a linear stochastic differential equation with time delay," SFB 373 Discussion Papers 1997,43, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

Articles

  1. Alexander Gushchin & Uwe Küchler, 2011. "On estimation of delay location," Statistical Inference for Stochastic Processes, Springer, vol. 14(3), pages 273-305, October.
  2. Gushchin, Alexander A. & Küchler, Uwe, 2004. "On oscillations of the geometric Brownian motion with time-delayed drift," Statistics & Probability Letters, Elsevier, pages 19-24.
  3. Gushchin A. A. & Valkeila Esko, 2003. "Approximations and limit theorems for likelihood ratio processes in the binary case," Statistics & Risk Modeling, De Gruyter, vol. 21(3/2003), pages 219-260, March.
  4. Gushchin A. A. & Valkeila E., 2001. "Exponential statistical experiments: their properties and convergence results," Statistics & Risk Modeling, De Gruyter, vol. 19(2), pages 173-190, February.
  5. Gushchin, Alexander A. & Küchler, Uwe, 2000. "On stationary solutions of delay differential equations driven by a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 88(2), pages 195-211, August.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Gushchin, Alexander A. & Küchler, Uwe, 2001. "On parametric statistical models for stationary solutions of affine stochastic delay differential equations," SFB 373 Discussion Papers 2001,91, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Küchler, Uwe & Gapeev, Pavel V., 2003. "On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay," SFB 373 Discussion Papers 2003,45, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

  2. Gushchin, Alexander A. & Küchler, Uwe, 1998. "On stationary solutions of delay differential equations driven by a Lévy process," SFB 373 Discussion Papers 1998,98, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Fasen, Vicky, 2006. "Extremes of subexponential Lévy driven moving average processes," Stochastic Processes and their Applications, Elsevier, vol. 116(7), pages 1066-1087, July.
    2. Uwe Küchler & Vyacheslav Vasiliev, 2005. "Sequential Identification of Linear Dynamic Systems with Memory," Statistical Inference for Stochastic Processes, Springer, vol. 8(1), pages 1-24, January.
    3. John Appleby & Markus Riedle & Catherine Swords, 2013. "Bubbles and crashes in a Black–Scholes model with delay," Finance and Stochastics, Springer, vol. 17(1), pages 1-30, January.
    4. Uwe Küchler & Michael Sørensen, 2010. "A simple estimator for discrete-time samples from affine stochastic delay differential equations," Statistical Inference for Stochastic Processes, Springer, vol. 13(2), pages 125-132, June.
    5. Li, Zhi & Zhang, Wei, 2017. "Stability in distribution of stochastic Volterra–Levin equations," Statistics & Probability Letters, Elsevier, pages 20-27.
    6. Küchler, Uwe & Gapeev, Pavel V., 2003. "On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay," SFB 373 Discussion Papers 2003,45, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    7. Reiß, M. & Riedle, M. & van Gaans, O., 2006. "Delay differential equations driven by Lévy processes: Stationarity and Feller properties," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1409-1432, October.

  3. Gushchin, Alexander A. & Kuchler, Uwe, 1997. "Asymptotic inference for a linear stochastic differential equation with time delay," SFB 373 Discussion Papers 1997,43, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Küchler, Uwe & Gapeev, Pavel V., 2003. "On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay," SFB 373 Discussion Papers 2003,45, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Markus Reiß, 2002. "Minimax Rates for Nonparametric Drift Estimation in Affine Stochastic Delay Differential Equations," Statistical Inference for Stochastic Processes, Springer, vol. 5(2), pages 131-152, May.

Articles

  1. Gushchin, Alexander A. & Küchler, Uwe, 2000. "On stationary solutions of delay differential equations driven by a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 88(2), pages 195-211, August.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Alexander Gushchin should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.