Serguei PERGAMENCHTCHIKOV March 15, 1958, Tomsk, Russia

Transcription

Serguei PERGAMENCHTCHIKOV
March 15, 1958, Tomsk, Russia
Laboratoire de Mathématiques Raphaël Salem,
UMR 6085 CNRS-University de Rouen,
Avenue de l’University, BP.12,
Technopôle du Madrillet,
F76801 Saint-Étienne-du-Rouvray
E-mail address : [email protected]
Webpage : http://lmrs.univ-rouen.fr/lmrs/Persopage/Pergamenchtchikov
Current position :
– Professor, Director of the Statistical Research Team at Laboratory of Mathematics Raphaël
Salem, UMR 6085 CNRS, University of Rouen, France ;
– Head of Master 1 ≪ Actuarial and Mathematical Engineering in Finance and Insurance ≫(AIMAF) at the Mathematical Department of University of Rouen.
Degrees :
– Doctor of Physical and Mathematical Sciences, ≪ Differential Equations ≫ Council of Institute
of Mathematics and Mechanics of the Ural Department of the Russian Academy of Science,
Ekaterinburg, Russia, 1994.
Topic : Dynamical systems described by singularly perturbed stochastic differential equations and by difference stochastic equations
Advisor : Yu. Kabanov
Referees : Steklov Mathematical Institute of Russian Academy of Sciences (Prokhorov,
Yu.V.), I. Katz, A. Veretennikov, A.P. Korostelev.
Among the 18 members of the Council there were 7 members of the Academy of Sciences of
Russia : Osipov, Ju. S., Krassovskii, N. N., Kurzhanskii, A. B. and etc.
– Candidate of Physical and Mathematical Sciences, Sobolev Mathematical Institute of Russian Academy of Sciences, Novosibirsk, 1986.
Topic : Guaranteed estimation methods of parameters of stochastic processes
Supervisor : Konev V.V.
Referees : Steklov Mathematical Institute of Russian Academy of Sciences (Shiryaev, A.N.),
Kabanov Yu.M., Turbin A.F.
Science Titles
– Senior Research Fellow (1989)
– Docent (1992)
– Professor (1995)
Awards ans Honors
Individual Grant of International Scientific Fund, 455 First Avenue New York, NY 10016, USA,
1993.
Individual DFG Grant, 436 RUS 17/58/97, German Science Foundation (Deutsche Forschungsgemeinschaft) (DFG) Germany, 1997.
Medal of Tomsk State University, Tomsk, Russia, 1998.
Premium of Doctoral Supervision and Research (P.E.D.R), Ministry of National Education
and Research of France, 2003–2007, 2007–2011.
Scientific Excellence Award (P.E.S), Ministry of National Education and Research of France,
2011–2015.
Professional experience
2001– up to now : professor PR1 at Laboratory of Mathematics Raphaél Salem, Rouen
University
1993–2001
: professor at Department of Applied Mathematics and Cybernetics,
Tomsk State University
1990 – 1993
: post-doc (supervisor : Kabanov, Yu.M.) at Central Economics and
Mathematical Institute (CEMI) of the Russian Academy of Sciences,
Moscow, Russia
1989 – 1990
: Senior Research Fellow at Siberian Physical and Technical Institute,
Tomsk State University, Tomsk, Russia
1987 – 1989
: post-doc (supervisor : Shiryaev, A.N.) at the Department of Stochastic processes theory and its Applications of Lomonosov Moscow State
University, Moscow, Russia
1985 – 1987
: Research Scholar at Siberian Physical and Technical Institute, Tomsk
State University, Tomsk, Russia
Education
1975 – 1980 : student at Tomsk State University, Faculty of Applied Mathematics
and Cybernetics.
1982 – 1985 : postgraduate student at Tomsk State University.
Professional Activity
– co-organizer of International Workshop ≪ Stochastic Control and its applications in Finance
and Statistics ≫ Rencontres Mathématiques de Rouen (RMR 2004) University of Rouen,
France June, 2004 ;
– president of the Selection Committee on Statistics at the University of Rouen, 2009-2010 ;
– co-organizer of International Workshop ≪ Statistical Inferences under dependent observations and their applications ≫, Rencontres Mathématiques de Rouen (RMR 2010), University
of Rouen, France June 1-2, 2010 ;
– co-organizer ≪ An international workshop on sequential methods and their applications ≫ (IWSM&
A 2012) University of Rouen, France June 4-8, 2012 ;
– member of International Program Committee (IPC) of the upcoming 2013 International
Workshop for Sequential Methods (IWSM 2013) in Athens, Georgia, USA.
Scientific Activities
I’m working on three research areas : statistical, mathematical and financial probability.
Statistics.
In collaboration with V. Konev and D. Fourdrinier, we develop methods for non-parametric
estimation for asymptotic process auto-regressive type. In collaboration with D. Fourdrinier, we
develop adaptive methods of model selection for the problem of estimating a non asymptotic regression function observed with noise dependent. Note that, usually, the model selection procedure
based on the least squares estimators. We proposed a new model selection procedure constructed
using arbitrary projective estimators. For this procedure, we obtained a non-asymptotic oracle
inequality. In addition, we have shown that we can improve the model selection procedure if one
replaces the usual procedure, the least squares estimators by estimators improved. In collaboration with L. Galtchouk, we study the problem of estimating non-asymptotic nonparametric drift
ergodic diffusion process at a given point and a risk. We have constructed estimators sequential
cores that are optimal for the minimax risk. For this problem we develop adaptive methods of
model selection. In collaboration with L. Galtchouk, we study the problem of estimating nonasymptotic nonparametric regression function observed with noise hétéroscédactiques. For this
problem, we proposed a procedure based on the procedure Golubev, Nussbaum for which we obtained a non-asymptotic oracle inequality for the quadratic risk. In addition to this procedure, we
obtained a property of asymptotic efficiency, more accurate cally, we determined an asymptotic
lower bound for the quadratic risk, ie Pinsker constant. Then, we have shown that the quadratic
risk of our procedure reaches this constant.
Financial mathematics.
I studied the asymptotic behavior of the portfolio strategy for the Leland model Black-Scholes
with transaction costs when the number of transactions tends to infinity. It is well known that the
financial strategy proposed by Leland in 1985 did not solve the coverage problem for a European
option with transaction costs. In this context, I showed how it should modify this policy to
cover the payment function asymptotically European option. In addition, I have demonstrated
a limit theorem for this strategy, which describes the asymptotic distribution of the terminal
value of the portfolio, it is found that this distribution is a mixture of normal distributions.
With O. Zeitouny, we considered an insurance company that invests its capital in risky assets.
In the case where the price of an insurance policy is an arbitrary function of bounded time, we
found terminals accurate asymptotic upper and lower probability of ruin when the initial capital
tends to infinity. When the price is an exponential function we determined the exact limit of the
probability of failure multiplied by some power function of the initial capital. In collaboration
with C. Klüppelberg, we considered an extremal problem for the auto-regressive model GARCH
type. For a stationary version of the process, we have shown that the tail of this distribution is
of Pareto type. Moreover, using this result we found the limit distribution of the extreme value
of this process and we calculated the index of stationarity. In collaboration with C. Klüppelberg,
we considered the problem of portfolio optimization with constraints on risk measures. We found
explicit solutions to this problem, and various utility functions.
Probability.
In collaboration with Yu Kabanov, we develop methods of differential equations with singular
perturbations for stochastic systems. We developed a stochastic version of the Tikhonov theorem.
In addition, I found an asymptotic expansion for this system. We have demonstrated a limit
theorem of large deviations obtained for this system and the form of the action function in this
theorem.
Research interests
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Sequential analysis
Non parametric and parametric sequential estimation
Adaptive, minimax and efficient robust estimation
Model selection
Hedging problem with transaction costs
Optimal consumtion and investment
Risk measures constraints
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Ruin problem
Renewal theory
Extremal problems
Concentration inequalities
Stochastic systems with singular perturbations
Editorial Activity
– Associate Editor of Journal of Multivariate Analysis (from 2011 up to now) ;
– Member of Editorial Board of Statistical Inference for Stochastic Processes (from 2010 up
to now) ;
– Member of Editorial Board of Journal of Mathematics and Mechanics of Tomsk State University (from 2010 up to now).
Grants and Research Projects
1994-1995 Partner in the grant ≪ Stochastic processes and their applications ≫, Grant MAT5419-0925 of International Scientific Fund, 455 First Avenue New York, NY 10016, USA.
2000-2001 Partner in the project ≪ Decisions for sequential problems Reliability-Quality ≫ IRMA,
University of Strasbourg.
2001-2004 Partner in the project ≪ Statistical Analysis of Discrete Structures ≫ German Science
Foundation (Deutsche Forschungsgemeinschaft), SFB 386, section A6 ”Statistical methods
for risk management” Center for Mathematical Sciences, Munich University of Technology.
2003 Partner in the international French-Russian project ≪ Sequential methods and improved
estimation methods. Applications in Finance and Insurance ≫, University of Rouen (France)
and Tomsk State University (Russia).
2003-2005 Partner in the grant ≪ Parametric and non parametric statistical methods and their
applications in Finance and Insurance ≫, Grant 04-01-00855, Russian Foundation for Basic
Research (RFBR), Leninskii prospect 32/a, Moscow 117334, Russia.
2005 – 2007 Partner in the project ≪ An integrated risk management problem with time varying
parameters ≫, in the program ≪ Advanced Mathematical Methods for Finance ≫ (AMaMeF)
supported by European Science Foundation.
2007-2009 French co-director of the Project ≪ Applications of stochastic processes to mathematical finance ≫, Cooperation Project Algeria - France, DPGRF/CNRS, Project DZAC
19856.
2009-2010 Director of the international project ≪ Non asymptotic robust identification methods
of dynamical systems described by stochastic differential and stochastic difference equations ≫, project of Russian ANR, Contract 02.740.115026, meropriyatie 1.5.
2010, 2012 Director of the Project ≪ Improved estimation for the Levy processes ≫, in the GDRI
≪ Réseau Franco-russe de formation et de recherches en mathématiques ≫, CNRS (France).
from 2010 up to now Partner in the project ≪ Interaction networks and complex systems ≫,
Large Research Network TK & TI, Information - Technology Axis, Haute Normandie, France.
Teaching experience
– Probability Theory (Tomsk State University, University of Strasbourg) ;
– Statistics (University of Rouen, Tomsk State University) ;
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Financial mathematics (University of Besanson, Tomsk State University) ;
Mathematical methods of Insurance (University of Rouen) ;
Stochastic calculus (Tomsk State University) ;
Partial derivative equations (Tomsk State University) ;
Stochastic modeling in Finance (University of Havre) ;
Asymptotic statistics (University of Rouen) ;
Improved estimation (University of Rouen) ;
Non asymptotic statistics (University of Rouen) ;
Mathematical economy (University of Rouen) ;
Sequential analysis (Tomsk State University) ;
Dynamical programming (University of Rouen) ;
Mathematical methods for financial markets (University of Rouen) ;
Renewal Theory (University of Rouen) ;
Econometrics (University of Rouen) ;
Reviewing activities :
Expert for Russian Foundation for Basic Research (RFBR, Leninskii prospect 32/a, Moscow
117334, Russia) ;
Expert for CIFRE (ANRT SERVICE CIFRE, 41 bd des Capucines, 75002 PARIS) ;
Econometric theory ;
ESAIM, Probability et Statistics ;
Annals of Applied Probability ;
SIAM Journal of Control and Optimization ;
Journal of Applied probability ;
Statistical Inference for Stochastic Process ;
Comptes Rendus de l’Académies des Sciences ;
Annales de l’Institut Henri Poincaré, Probabilité et Statistics ;
Extrems ;
Mathematical Finance ;
Stochastic processes and their applications ;
Insurance : Mathematics and Economics ;
Journal of Multivariate Analysis ;
Sequential Analysis ;
Finance and Stochtics
Methodology and Computing in Applied Probability
Journal of Mathematics and Mechanics of Tomsk State University.
Invited talks
1.
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On singularity perturbed partial deferential equations ≫, International Conference in memory of S. N. Kruzkov, Non Linear EDP, Besançon, France, June 28 – July 2, 1999.
2.
Sequential parametric estimation of auto regression processes ≫, Seminar on Statistics,
IRMA, University of Strasbourg, Strasbourg, France, February 2000.
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Stochastic systems with singular perturbations ≫, Seminar on Probability and Statistics of
University of Amiens, Amiens, France, March 2000.
≪ Limit theorem for the Leland strategy ≫, seminar on Stochastic calculus of IRMA, University of Strasbourg, Strasbourg, France, April 2000.
≪ Sequential estimation for the mean of autoregressive processes ≫, Seminar on statistics of
the stochastic processes (J. Jacod), Paris University 6, 4 May, 2000.
≪ Hedging problem with transaction costs ≫, International workshop on probability and statistics, Universities Evry-Nancy-Strasbourg, Evry, 19-20 May, 2000.
≪ Sequential estimation for stochastic processes in continuous time ≫, International Workshop
of ”Modélisation aléatoire et statistique” de la SMAI, University of Rennes I, France, 6-8
September, 2000.
≪ Sequential non parametric estimation for the drift of diffusion processes ≫, Seminar on
Probability and Statistics, University of Provence, Marseille 1, 17 November, 2000.
≪ Sequential non parametric estimation for stochastic processes in continuous time ≫ - International Workshop ”Probability - Statistics” Universities Evry-Nancy-Strasbourg, Strasbourg, 28-29 November 2000.
≪ Stochastic systems with singular perturbations and their applications ≫, Seminar ”Stochastic methods and Finance de l’University Marne-la-Vallée, 8 December, 2000.
≪ Sequential kernel and local polynom estimations for the drift of ergodic diffusion processes ≫, International Workshop “Rencontre de Statistics Mathématique”, CIRM (Luminy,
France), 11 December, 2000.
≪ Hedging problem for European options with transaction costs ≫, the Bachelier seminar of
Henri Poincare Institute, Paris, 22 December, 2000.
≪ Hedging strategy for European options with transaction costs ≫, seminar on Financial
mathematics and Statistics, Munich Technical University, Munich, 18 January, 2001.
≪ Ruin problem for insurance models with investments ≫, seminar on Statistics, IRMA,
University of Strasbourg, January 2001.
≪ Two scale stochastic systems and their applications in mathematical finance ≫, seminar on
Financial Mathematics, INRIA, Sophia Antipolis (D. Talay), 5 Avril, 2001.
≪ Renewal theorem for Markov chains with compact state space ≫, seminar on Financial
Mathematics and Statistics, Technical University of Munich, Munich, 11 November, 2001.
≪ Sequential estimation for diffusion processes via model selection ≫, the seminar on Statistics, IRMA, University of Strasbourg, 9 Avril, 2002.
≪ Asymptotic properties for ruin probability for the Cramér-Lundberg model ≫, the seminar
on Financial Mathematics and Statistics, Technical University of Munich, Munich, 27 June,
2002.
≪ Sequential non parametric estimation via penalization method ≫, International Workshop
”Modélisation aléatoire et statistique” de la SMAI, Grenoble, France, 4 September, 2002.
≪ Tail of the stationary distribution for AR(q) models with random coefficients ≫, the seminar
on Probability and Statistics, University of Marne-la-Vallée (Paris), 28 February, 2003.
≪ A extremal problem AR(q) models with random coefficients ≫, the seminar on Financial
Mathematics and Statistics, Technical University of Munich, Munich, September 10 2003.
≪ Tail of the stationary distribution for AR(q) models with random coefficients ≫, Conference
”Statistics in Finance”, Oberwolfach, Germany, 11-17 January 2004.
≪ Sequential non parametric estimation for diffusion processes via model selection ≫, the
seminar on Mathematical Statistics and Applications, CIRM (Luminy, France), 1 November,
2004.
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Tail of the stationary distribution for AR(q) models with random coefficients ≫, Seminar
on Stochastic Processes, Technology Institute of Suisse (ETH), Zürich, 30 June, 2004.
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A Sharp control problem for stochastic singular perturbed systems ≫, 22 IFIP TC 7 Conference on System Modeling and Optimization, Italy, Turin, 18 July 2005.
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Optimal consumption and investment with bounded downside risk measures for logarithmic
utility functions ≫, The Fifth International Bachelier Colloquium “Mathematical Finance and
Stochastic Calculus”, Métabief, 18 January, 2011.
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Stochastic control for stochastic systems with singular perturbations ≫, the seminar of
Department of Mathematics, University of Brest, Brest, France, 7 December, 2004.
Limit theorem for extremal values of autoregressive ARCH models ≫, the Bachelier Seminar
on Finance, Henri Poincare Institute, Paris, 20 May, 2005.
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Optimal consumption and investment for Black-Scholes models ≫, the seminar on Statistics
of Stochastic Processes, Tomsk State University, Tomsk, Russia, 28 December, 2005.
Optimal consumption and investment with VAR constraints ≫, the seminar on Numerical
probability and Finance, Laboratory “Probabilités et Modèles Aléatoires” Universities 6-7
of Paris, 16 March, 2006.
Optimal consumption and investment with constraints on risk measures ≫, the seminar on
Financial Mathematics and Statistics, Technical University of Munich, Munich, 5 October,
2006.
Non parametric estimation for heteroscedastic regression models ≫, the Parisian Seminar
on Statistics, Henri Poincare Institute , Paris, 19 March, 2007.
Optimal consumption and investment with constraints on risk measures ≫, the seminar of
Laboratory of Mathematics of University of Havre, Le Havre, France, 7 June, 2007.
Extremal problem for multidimensional auto regression ≫, International Workshop of ”Modélisation
aléatoire et statistique” de la SMAI Rennes, France, 27 August, 2008.
Extremal problem for multidimensional auto regression ≫, the Probability and Stochastic
Processes Seminar of University of Brest, Brest, 20 0ctober, 2008.
Adaptive Sequential Estimation for Ergodic Diffusion Processes in Quadratic Metric ≫,
Second International Workshop in Sequential Methodologies, University of Technology of
Troyes, 15-17 June, 2009.
Optimal consumption and investment with bounded downside risk measures for logarithmic
utility functions ≫, International Workshop “Stochastic Control and Finance”, Roscoff, 18-23
March, 2010.
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Optimal consumption and investment for financial markets with random coefficients ≫, The
Sixth International Bachelier Colloquium “Mathematical Finance and Stochastic Calculus”,
Métabief, 16-23 January, 2012.
Sequential stochastic approximation procedure ≫, “An international workshop on sequential
methods and their applications” (IWSM& A 2012) University of Rouen, France June 4-8,
2012, http ://www.univ-rouen.fr/LMRS/RMR12/
Hedging problem with transaction costs for stochastic volatility markets ≫, The 7th International Bachelier Colloquium “Mathematical Finance and Stochastic Calculus”, Métabief,
14 January , 2013.
Bibliometrics
Harzing’s Publish or Perish : Index h=11 et Index g=18.
Publications
Books
– Kabanov Yu., Pergamenschikov S. Two-Scale Stochastic Systems. Asymptotic Analysis and
Control. Springer-Verlag, 2003.
Statistics
1. Pergamenshchikov, S. M. (with Konev, V. V.) The Sequential Plans of Parameters Identification in Dynamic Systems. - Automat. and Remote Control, 1981, 7, pp. 84-92.
2. Pergamenshchikov, S. M. (with Konev, V. V.) Sequential Estimation of the Parameters of
Random Processes with Continuous Time.- Mathematical statistics and its applications,
Tomsk State University, Tomsk, 1981, 8, pp. 93-101.
3. Pergamenshchikov, S. M. (with Konev, V. V.) On the Asymptotic Normality of the
Sequential Estimate of the Parameter in an Autoregressive Process of the First Order.
- Mathematical statistics and its applications, Tomsk State University, Tomsk, 1983, 9,
pp. 117-129.
4. Pergamenshchikov, S. M. (with Konev, V. V.) On the Number of Observations in Sequential Identification of Parameters in Dynamic Systems. - Automat. and Remote Control,
1984, 12, pp. 56-62.
5. Pergamenshchikov, S. M. On the Duration of Sequantial Estimation of the Parameters of Diffusion Processes. - Automat. of Stat. Calc., Novosibirsk Technical Institute,
Novosibirsk, 1985, pp. 62-74.
6. Pergamenshchikov, S. M. (with Konev, V. V.) Sequential Estimation of the Parameters
of Diffusion Processes. - Problems of Information Transmission, 21 (1), 36 - 46
7. Pergamenshchikov, S. M. (with Konev, V. V.) On the Duration of Sequential Estimation
of Parameters of Stochastic Processes in Discrete time.- Stochastics, 1986, v.18, 2, pp.
133-154.
of Unstable Dynamical Systems. - Mathematical statistics and its applications, Tomsk
State University, Tomsk, 1987, 11, pp.70-81.
9. Pergamenshchikov, S. M. (with Konev, V. V.) On Guaranteed Estimation of the Parameters of Unstable Dynamical Systems.- Automat. and Remote Control, 1988, 11, pp.
130-140.
10. Pergamenshchikov, S. M. (with Konev, V. V.) On Truncated Sequential Estimation of
the Drifting Parameter Mean in the First Order Autoregressive Model. - Sequential
Analysis, 1990, v. 9, 2, pp. 193-206.
11. Pergamenshchikov, S. M. (with Konev, V. V.) Truncated Sequential Estimation of the
Parameters in a Random Regression.- Sequential Analysis, 1990, v. 9, 1, pp. 19-41.
12. Pergamenshchikov, S. M. Asymptotic Properties of the Sequential Design for Estimating
the Parameter of a First Order Autoregression.- Theory Probab. Appl., 1991, v. 36, 1,
pp. 42-53.
of Linear Unstable Stochastic Systems with Guaranteed Accuracy. - Problems of Inform.
Trans., 1992, v. 28, 4, pp. 35-48.
14. Pergamenshchikov, S. M. (with Shiryaev, A. N.) On the Sequential Estimation of a Parameter of Stochastic Difference Equations with Random Coefficients. - Theory Probab.
Appl., 1992, v. 37, 3, pp. 482-501.
15. Pergamenshchikov, S. M. (with Shiryaev, A. N.) On Reparametrization and Asymptotically Optimal Minimax Estimation in a Generalized Autoregressive model.- Annales
Acad. Scientiarum Fen. Series A.I.Mathematica, 1992, v. 17, p. 111-116.
16. Pergamenshchikov, S. M. (with Konev, V. V.) On Truncated Sequential Estimation
of the Parameters of Diffusion Processes. - Methods of Economical Analysis, Central
Economical and Mathematical Institute of Russian Academy of Science, Moscow, 1992,
p. 3-31.
17. Pergamenshchikov, S. M. (with Konev, V. V.) On Optimality of the Fixed Accuracy
Estimate of the Parameter in an Explosive Autoregressive Process of the First Order. Sequential Analysis, 1993, v. 12, 1, p. 25-78.
18. Pergamenshchikov, S. M. (with Konev, V. V.) Fixed Accuracy Estimation of Autoregression Parameters on the Basis of Sequential Correlation Method. -Proceedings of Steklov
Mathematical Institute, Russian Academy of Sciences, Moscow, 1993, v. 202, p. 149-169.
19. Pergamenshchikov, S. M. (with Konev, V. V.) On Estimation of the Autoregressive
Parameter on the Basis of Generalized Least Squares Method. -Russian Mathematical
Surveys, 1995, v. 50, 6(306), pp.187-188
20. Pergamenshchikov, S. M. (with Konev, V. V.) Guaranteed Estimation of the Basis of the
Autoregressive Parameter on the Basis of Generalized Least Squares Method. - Theory
Probab. Appl., 1996, v. 41, 4, p. 765-784.
21. Pergamenshchikov, S. M. (with Konev, V. V.) On Asymptotic Minimaxity of Guaranted
Estimators of Autoregressive Parameters. Part 1. Stable Process Case. - Math. Methods
in Statistics, 1996, v. 5, 2, p.125-153.
22. Pergamenshchikov, S. M. (with Konev,V. V.) Gauranteed Estimation of a Periodic Signal under Autoregressive Noise with Unknown Parameters.- Problems Inform. Transmission., 1997, v.33, 4, p. 307-323.
23. Pergamenshchikov, S. M. (with Konev, V. V.) An Estimation of a periodic trend under the Autoregressive Noise. - Proceeding of steklov Mathematikal Institute Seminar,
”Statistics and Control of Stochastic Processes”. The Liptser Festschrift, Steklov Mathematikal Institute, 1995-1996, editors : Kabanov, Yu. M., Rozovskii, B.L., Shiryaev,
A. N., World Scientific, Singapure, New Jersey, London, Hong Kong, 1997, p. 205-227.
24. Pergamenshchikov, S. M. (with Dmitrienko, A. A. and Konev, V. V. ) On Guaranteed Estimation of Autoregressive Parameter on the Basis of Generalized Least Sguares
Method with Unknown Noise Variance. - Sequential Analysis, 1997, v. 16, 1, p. 25-46.
25. Pergamenshchikov, S. M. (with Konev, V. V.) On Guaranteed Estimation of the Parameters of a Linear Regression with Dependent Noises. - Automat. and Remote Control,
1997, 2, pp. 75-84.
26. Pergamenshchikov, S. M. (with Konev, V. V.) On Guaranteed Estimation of the Mean
of An Autoregressive Process. -Annals of Statistics, 1997, v.25, 5, p. 2127-2163.
27. Pergamenshchikov,S. M. (with V. V.Konev) On Asymptotic Minimaxity of Guaranted
Estimators of Autoregressive Parameters. Part 2. Explosive Process Case. - Math. Methods in Statistics, 1998 v.7, N 1, p. 27-59.
28. Pergamenshchikov, S. M. Asymptotic Expansions for the Stochastic Approximation Averaging Procedure in Continuous Time.- Statistical Inference for Stochastic Process, 1999,
v. 1, N 2, p. 197-223
29. Pergamenshchikov, S. M. (with L. Galtchouk) Sequential nonparametric adaptive estimation of the drift coefficient in diffusion processes.- Mathematical Methods of Statistics,
2001, v.10, 3, p.316-330
30. Pergamenshchikov, S. M. (with V. V.Konev) Sequential estimation in stochastic approximation problem with autoregressive errors in observation.- Sequential Analysis,
2003, v.22, 1 - 2, p. 1-29.
31. Pergamenshchikov, S. M. (with V. V.Konev) Guaranteed estimation of a trigonometric
polynomial by observations with an additive gaussian noise having a rational density
with unknown parameter. - Statistical Inference for Stochastic Process, 2003, 6, 3, p.
215-235.
32. Pergamenshchikov, S. M. (with L. Galtchouk) Non parametric sequential estimation of
the drift in diffusion processes via model selection. Mathematical Methods of Statistics,
2004, v.13, 1, p. 25-49
33. Pergamenshchikov, S. M. (with L. Galtchouk) Non parametric sequential minimax estimation of the drift coefficient in diffusion processes. - Sequential Analysis, 2005, v.24,
N3, p. 303-330.
34. Pergamenshchikov, S. M. (with L. Galtchouk) Asymptotically efficient sequential kernel
estimates of the drift coefficient in ergodic diffusion processes. - Statistical Inference for
Stochastic Processes, 2006, 9(1), p. 1-16
35. Pergamenshchikov, S. M. (with L. Galtchouk) Asymptotically efficient estimates for non
parametric regression models. - Statistics and Probability Letters, 2006, v. 76 , 8, p.
852-860
36. Pergamenshchikov, S. M. (with D. Fourdrinier) Improved model selection method for a
regression function with dependent noise. - Annals of the Institute of Statistical Mathematics, 2007, 59, p. 435-464
37. Pergamenchtchikov S.(with Arkoun O.) Nonparametric Estimation for an Autoregressive
Model.- Journal of Mathematics and Mechanics of Tomsk State University, 2008, v.2(3).
p. 20 - 30
38. Pergamenshchikov, S. M. (with Galthouk, L.) Sharp non-asymptotic oracle inequalities for nonparametric heteroscedastic regression models. - Journal of Nonparametric
Statistics, 2009, 21, 1, p. 1-16
http ://hal.archives-ouvertes.fr/hal-00454079/fr
39. Pergamenshchikov, S. M. (with Galthouk, L.) Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression. - Journal of the Korean Statistical
Society, 2009, 38(4) p. 305 - 322.
40. Pergamenshchikov, S. M. (with Fourdrinier, D. and Konev, V.) Truncated sequential
estimation of the parameter of a first order autoregressive process with dependent noises
- Mathematical Methods of Statistics, 2009, 18, 1, 43-58
41. Pergamenshchikov, S. M. (Konev, V.) Non-parametric estimation in a semimartingale
regression model. Part 1. Oracle Inequalities. - Journal of Mathematics and Mechanics
of Tomsk State University, 2009, 3(7), 23-41
http ://sun.tsu.ru/mminfo/000063105/mat/07/image/07-023.pdf
regression model. Part 2. Robust asymptotic efficiency. Journal of Mathematics and
Mechanics of Tomsk State University 2009, 4(8), 31-45.
http ://sun.tsu.ru/mminfo/000063105/mat/08/image/08-031.pdf
43. Pergamenshchikov, S. M. (with Konev, V.) General model selection estimation of a periodic regression with a Gaussian noise. - Annals of the Institute of Statistical Mathematics,
2010, 62, 1083 - 1111.
44. Pergamenshchikov, S. M. (with Galthouk, L.) Adaptive sequential estimation for ergodic
diffusion processes in quadratic metric. Journal of Nonparametric Statistics, 2011, 23,
2, 255-285.
45. Pergamenshchikov, S. M. (Konev, V.) Efficient robust nonparametric estimation in a
semimartingale regression model. Annales de l’Institut Henri Poincare, Probability and
Statistics, 2012, 48, 4, 1277-1244.
46. Pergamenshchikov, S. M. (with Galthouk, L.) Efficient pointwise estimation based on
discrete data in ergodic nonparametric diffusions. Bernoulli, 2012, accepted
Mathematical finance
1. Pergamenshchikov, S. M. (with A. G. Frolova, Yu. M. Kabanov) In the insurance business
risky investments are dangerous. - Finance and Stochastics, 2002, v. 6, 2, p. 227-235.
2. Pergamenshchikov, S. M. Limit theorem for Leland’s strategy. - The Annals of Applied
Probability, 2003, v. 13, 3, p. 1099-1118.
3. Pergamenshchikov, S. M. (with Klüppelberg, C.) The tail of the stationary distribution
of a random coefficient AR(q) process with applications to an ARCH(q) process. - The
Annals of Applied Probability, 2004, v. 14, 2, p. 971-1005.
4. Pergamenshchikov, S. M. (with Zeitouny, O.) Ruin probability in the presence of risky
investments - Stochastic processes and their applications, 2006, 116, p. 267-278.
5. Pergamenshchikov, S. M. (with Klüppelberg, C.) Extremal behaviour of models with
multivariate random recurrence representation -Stochastic processes and their applications, 2007, 117, 4, p. 432-456.
6. Pergamenshchikov, S. M. Erratum to : “Ruin probability in the presence of risky investments”[Stochastic processes and their applications, 2006, 116, p. 267-278] -Stochastic
processes and their applications, 2009, 119, 1, p. 305 - 306.
7. Pergamenshchikov, S. M. (with Klüppelberg, C.) Optimal consumption and investment
with bounded downside risk for power utility functions. In : F. Delbaen, M. Rásonyi and
C. Stricker (Eds.) Kabanov Festschrift. Optimality and Risk - Modern Trends
in Mathematical Finance, Springer-Heidelberg-Dordrecht-London-New York, 2009.
p. 133-169.
with bounded downside risk measures for logarithmic utility functions. - In : H. Albrecher, W. Runggaldier and W. Schachermayer (Eds.)Advanced Financial Modelling.
Radon Ser. Comput. Appl. Math., Walter de Gruyter, Berlin, 2009, 8, p. 245 - 273.
9. Pergamenshchikov, S. M. (with Berdjane, B.) Optimal consumption and investment for
markets with randoms coefficients. -Finance and Stochastics, 2013, be published
http ://www.springerlink.com/content/086311n041l00nm5/fulltext.pdf
10. Pergamenshchikov, S. M. (with Chouaf, B.) Optimal investment with bounded VaR for
power utility functions. Yu. Kabanov (Ed.) The collection of papers dedicated to
the 60th anniversary of Marek Musiela. Springer, 2012, accepted.
Probability
1. Pergamenshchikov, S. M. (with Kabanov, Yu. M.) On Singularly Perturbed Stochastic
Equations and Partial Differential Equations. - Soviet Math. Dokl., 1990, v. 41, 2, pp.
328-331.
2. Pergamenshchikov, S. M. (with Kabanov, Yu. M.) On the Attainability Sets for Controlled Stochastic Differential Equations. - Russian Mathematical Surveys, 1991, v. 46,1, pp.
209-210.
3. Pergamenshchikov, S. M. (with Kabanov, Yu. M. and Stoyanov, J.M.) Asymptotic Expansions for Singularly Perturbed Stochastic Differential Equations.- New Trends in
Prob. and Stat.,VSP/Mokslas, 1991, p. 413-435.
4. Pergamenshchikov, S. M. (with Kabanov, Yu. M.) Optimal Control of Singularly Perturbed Stochastic Linear Systems. - Stochastics and Stochastics Reports, 1991, v. 36,
pp. 109-135.
5. Pergamenshchikov, S. M. (with Kabanov, Yu. M.) Singular Pertubations of Stochastic
Differential Equations : the Tikhonov theorem. - Math. USSR Sbornik, 1992, v. 71, 1,
pp. 15-27.
6. Pergamenshchikov, S. M. Asymptotic Expansions for Models with Both Quick and
Slowly Variables Specified by Singularly Perturbed Stochastic Systems of Stochastic
Differential Equations. - Russian Mathematical Surveys, 1994, v. 49, 4, p. 1-44.
7. Pergamenshchikov, S. M. (with Kabanov, Yu. M.) Large Deviations for Singular Perturbed Stochastic Differential Equations. - Russian Mathematical Surveys, 1995, v. 50, 5,
p. 989-1013.
8. Pergamenshchikov, S. M. (with Kabanov, Yu. M.) On Convergence of Attainability Sets
for Controlled Two-Scale Stochastic Linear Systems. - SIAM J. Control, 1997, v. 35, 1,
p. 134-159.
9. Pergamenshchikov, S. M. (with Klüppelberg, C.) Renewal theory for functionals of a
Markov chain with compact state space. - Annals of Probability, 2003, v. 31, 4, p. 2270
- 2300.
10. Pergamenshchikov, S. M. (with L. Galtchouk) Uniform concentration inequality for ergodic diffusion processes. - Stochastic processes and their applications, 2007, v. 7, p.
830-839.
11. Pergamenshchikov, S. M. (with L. Galtchouk) Uniform concentration inequality for ergodic diffusion processes observed at discrete times. - Stochastic processes and their
applications, 2013, v. 123, 1, p. 91 - 109.
Proceedings
1. Pergamenshchikov, S. M. (with Konev, V. V.) On Sequential Method for Parameters
in stochastic Process. - 8th Russian Conference on Coding Theory and Informarion
Transmission, Proc. of a conférence, Moscow- Kuibyshev, Russia, 1981, v.4, pp. 68-72.
2. Pergamenshchikov, S. M. (with Konev, V. V.) Asymptotic Properties of Sequential Estimation Plans for Parameters in Random Processes. - Russian Conference ”Application
of statistical methods to control problems”, Perm, Russia, 1984, pp. 124-125.
3. Pergamenshchikov, S. M. On Guaranteed Estimation of Autoregressive Parameters. Second Symp. on Statistical Measurements and application of microsoft wear, Proc. of
Symp., Riga, Latvia, 1984, v.3, pp. 74-78.
4. Pergamenshchikov, S. M. (with Konev, V. V.) On Sequential Estimation Plans for Autoregression Parameters. - 4th International Vilnius Conference on Probability Theory
and Mathematical Statistics, Proc. of a Conference, Vilnius, Lithunia, 1985, v.2, pp.
54-55.
5. Pergamenshchikov, S. M. (with Konev, V. V.) On Sequential Estimation of Parameters
in Stochastic Dynamical Systems. - Proc. of 6th Seminar on Nonparametric and Robust
Methods of Statistics in Cybernetics, Tomsk State University, Tomsk, 1987, v.1, pp.
202-214.
6. Pergamenshchikov, S. M. (with Konev, V. V.) Sequential Parameter Estimation in Unstable Processes. - 9th Conf. on Coding Theory and Information Trans., Odessa, Russia,
1988, pp. 33-34.
7. Pergamenshchikov, S. M. (with Konev, V. V.) On Estimation of Autoregression Process
with Bounded Sample Volume. - Trans. of 3th Conf. ”Perspective Planning Methods
and Analysis of Random Fields and Processes”, Grodno, Belorussia, Sept., 1988, v.3,
pp. 52-53.
8. Pergamenshchikov, S. M. (with Konev, V. V.) Truncated Sequential Estimation of Autoregressive parameters. - 5th International Vilnius Conference on Probability Theory
and Mathematical Statistics, Proc. of a Conference, Vilnius, Lithunia, 1989, v.3, pp.
307-308.
9. Pergamenshchikov, S. M. (with Kabanov, Yu. M.) Singularly Perturbed Stochastic Differential Equations. - 5th International Vilnius Conference on Probability Theory and
Mathematical Statistics, Proc. of a conference, Vilnius, Lithunia, 1989, v.3, pp. 263-265.
10. Pergamenshchikov, S. M. (with Konev, V. V.) Sequential Estimation of Autoregressive
Parameters in the Presence of Drift. - Trans. of Conf. ”Math. and Programming Tool
for Data Analysis”, Minsk State University, Minsk, Belorussia, 1990, pp. 113.
11. Pergamenshchikov, S. M. (with Kabanov, Yu. M.) On Optimal Control of Singularly Perturbed Stochastic Differential Equations. - Modeling, Estimation and Control of Systems
with Uncertainty, Proc. of a Conference, Sopron, Hungary, September, Birhauser, 1990,
pp. 200 - 209.
12. Pergamenshchikov, S. M. Asymptotic Expansions for Systems of Singularly Perturbed
Stochastic Differential Equations. - Proc. of a International Russian Conference ”Stochastic Methods of Analysis”, ”TVP”, Moscow, 1994, p. 91-93.
13. Pergamenshchikov, S. M. (with Konev, V. V.) Estimate for the Autoregression Parameter with the Property of Uniform Asymptotic Normality on the Whole Line. - ”Limiting
Theorems and Relevant Problems”, Proceedings of the International Seminar, Omsk
Russia, 1995, pp. 26-28.
14. Pergamenshchikov, S. M. (with Konev, V. V.) On Guaranteed Identification of Stochastic
Dynamic Systems. - Proceedings of the 13th IFAC world congress, San-Francisco, USA,
Pergamon Press, 1996, v. H, p. 533-538.
15. Pergamenshchikov, S. M. Tail behaviour of the Stationary Distribution of a Random
Coefficient Autoregressive Model. - Oberwolfach Reports (European Mathematical Society), 2004, v. 1, No. 1 (Report No. 2/2004) p. 161 - 163.
Preprints
1. Pergamenshchikov, S. M. On Large Deviation probabilities in Ergodic Theorem for Singularly perturbed Stochastic Systems. - Preprint 414, Weierstras Institute, Berlin, Germany, 1998.
2. Pergamenshchikov, S. M. (with L. Galtchouk) Estimateurs séquentiels à noyau et aux
polynômes locaux pour le problème d’estimation non paramétrique de la dérive d’un
processus de diffusion. - Preprint 2000/58, 2000, IRMA (UMR 7501), Universitè Louis
Pasteur, 1-42.
http ://hal.archives-ouvertes.fr/hal-00129636/fr/
3. Pergamenshchikov, S. M. (with L. Galtchouk) Efficient adaptive nonparametric estimation in heteroscedastic models. - University Louis Pasteur, IRMA, Preprint, 2005.
with bounded Capital-and-Risk. -Munich University of technology, Preprint, 2005, Available online at www-m4.ma.tum.de/Papers
for Logarithmic utility with bounded Capital-and-Risk.- Munich University of Technology, Preprint, 2005. Available online at www-m4.ma.tum.de/Papers
with bounded Capital-at-Risk for power utility functions. - Munich University of Technology, Preprint, 2007. Available online at http ://www.iac.rm.cnr.it/amamef
diffusion processes in quadratic metric. Part 1. Sharp non-asymptotic oracle inequalities.
- Prépublication 2007/06, IRMA, University Louis Pasteur de Strasbourg, 2007.
diffusion processes in quadratic metric. Part 2. Asymptotic efficiency. - Prépublication
2007/07, IRMA, University Louis Pasteur de Strasbourg, 2007.
9. Pergamenshchikov, S. M. (with Galthouk, L.) Adaptive non parametric estimation in heteroscedastic regression models. Part 1. Non-asymptotic oracle inequalities. - Prépublication
2007/9 , IRMA, University Louis Pasteur de Strasbourg, 2007.
10. Pergamenshchikov, S. M. (with Galthouk, L.) Adaptive non parametric estimation in heteroscedastic regression models. Part 2. Asymptotic efficiency. - Prépublication 2007/10,
IRMA, University Louis Pasteur de Strasbourg, 2007.
11. Pergamenshchikov, S. M. (with Galthouk, L.) Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression via model selection. - Preprint, 2008,
regression model. Part 1. Oracle Inequalities. - Preprint, 2009,
regression model. Part 2. Robust asymptotic efficiency. - Preprint, 2009,
14. Pergamenshchikov, S. M. (with Galthouk, L.) Geometric ergodicity for families of homogeneous Markov chains. - Preprint, 2010,
15. Pergamenshchikov, S. M. (with Chouaf, B.) Optimal investment with bounded VaR for
power utility functions. - Preprint, 2010,
16. Pergamenshchikov, S. M. (with Konev, V.) Efficient robust nonparametric estimation in
a semimartingale regression model. - Preprint, 2010,
17. Pergamenshchikov, S. M. (with Berdjane, B.) Optimal consumption and investment for
markets with randoms coefficients. Preprint, 2011,
18. Pergamenshchikov, S. M. (with Galthouk, L.) Uniform concentration inequality for ergodic diffusion processes observed at discrete times. - Preprint, 2011,
19. Pergamenshchikov, S. M. (with Galthouk, L.) Efficient pointwise estimation based on
discrete data in ergodic nonparametric diffusions - Preprint, 2012,
http ://hal.archives-ouvertes.fr/hal-00682844
20. Pergamenshchikov, S. M. (with Galthouk, L.) Geometric ergodicity for families of homogeneous Markov chains. - Preprint, Version 2, 2012
21. Pergamenshchikov, S. M. (with Berdjane, B.) Sequential δ-optimal consumption and
investment for stochastic volatility markets with unknown parameters. - Preprint, 2012
22. Pergamenshchikov, S. M. (with Nguyen, T.)
Approximate hedging problem with transaction costs in stochastic volatility markets. Preprint, 2012

Serguei PERGAMENCHTCHIKOV March 15, 1958, Tomsk, Russia

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