Sergey Pergamenshchikov : Citation Profile


Are you Sergey Pergamenshchikov?

National Research University Higher School of Economics (50% share)

3

H index

1

i10 index

57

Citations

RESEARCH PRODUCTION:

11

Articles

4

Papers

RESEARCH ACTIVITY:

   17 years (1998 - 2015). See details.
   Cites by year: 3
   Journals where Sergey Pergamenshchikov has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 7 (10.94 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe683
   Updated: 2020-05-16    RAS profile: 2014-06-20    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Sergey Pergamenshchikov.

Is cited by:

Lépinette, Emmanuel (1)

Kurochkin, Sergey (1)

Xu, Lin (1)

Кабанов, Юрий (1)

Cites to:

Кабанов, Юрий (3)

Scholes, Myron (1)

Lépinette, Emmanuel (1)

Leland, Hayne (1)

Main data


Where Sergey Pergamenshchikov has published?


Journals with more than one article published# docs
Statistical Inference for Stochastic Processes3
Stochastic Processes and their Applications3
Annals of the Institute of Statistical Mathematics2
Finance and Stochastics2

Working Papers Series with more than one paper published# docs
Working Papers / HAL3

Recent works citing Sergey Pergamenshchikov (2018 and 2017)


YearTitle of citing document
2019Approximate hedging with proportional transaction costs in stochastic volatility models with jumps. (2015). Pergamenschchikov, Serguei ; Nguyen, Thai Huu . In: Papers. RePEc:arx:papers:1505.02627.

Full description at Econpapers || Download paper

2018Portfolio Optimization with Delay Factor Models. (2018). Zhang, Zheng ; Sun, Li-Hsien ; Sheu, Shuenn-Jyi. In: Papers. RePEc:arx:papers:1805.01118.

Full description at Econpapers || Download paper

2018On the optimal investment-consumption and life insurance selection problem with an external stochastic factor. (2018). Guambe, Calisto ; Kufakunesu, Rodwell. In: Papers. RePEc:arx:papers:1808.04608.

Full description at Econpapers || Download paper

2018Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with logarithmic utility. (2018). Pergamenshchikov, Serguei ; Albosaily, Sahar. In: Papers. RePEc:arx:papers:1809.08139.

Full description at Econpapers || Download paper

2020On the parabolic equation for portfolio problems. (2020). Zawisza, Dariusz. In: Papers. RePEc:arx:papers:2003.13317.

Full description at Econpapers || Download paper

2018Risk- and value-based management for non-life insurers under solvency constraints. (2018). Eckert, Johanna ; Gatzert, Nadine. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:2:p:761-774.

Full description at Econpapers || Download paper

2017Optimal investment and reinsurance for an insurer under Markov-modulated financial market. (2017). Xu, Lin ; Yao, Dingjun ; Zhang, Liming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:7-19.

Full description at Econpapers || Download paper

2019Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis. (2019). Tartakovsky, Alexander G ; Pergamenchtchikov, Serguei. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:174:y:2019:i:c:s0047259x19301733.

Full description at Econpapers || Download paper

2019A Hoeffding’s inequality for uniformly ergodic diffusion process. (2019). Li, Evelyn. In: Statistics & Probability Letters. RePEc:eee:stapro:v:150:y:2019:i:c:p:23-28.

Full description at Econpapers || Download paper

2017Optimal consumption and investment with Epstein–Zin recursive utility. (2017). Seiferling, Thomas ; Seifried, Frank Thomas ; Kraft, Holger. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0316-0.

Full description at Econpapers || Download paper

2020Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process. (2020). Pergamenshchikov, Serguei ; Kabanov, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00413-3.

Full description at Econpapers || Download paper

2018Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data. (2018). Pergamenchtchikov, Serguei ; Tartakovsky, Alexander G. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:1:d:10.1007_s11203-016-9149-x.

Full description at Econpapers || Download paper

2018Oracle inequalities for the stochastic differential equations. (2018). Pchelintsev, E A ; Pergamenshchikov, S M. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:2:d:10.1007_s11203-018-9180-1.

Full description at Econpapers || Download paper

Works by Sergey Pergamenshchikov:


YearTitleTypeCited
2015Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters In: Papers.
[Full Text][Citation analysis]
paper0
2012Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2006Ruin probability in the presence of risky investments In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article7
2007Uniform concentration inequality for ergodic diffusion processes In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article1
2013Uniform concentration inequality for ergodic diffusion processes observed at discrete times In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article2
2006Asymptotically efficient estimates for nonparametric regression models In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article3
2012Approximate hedging problem with transaction costs in stochastic volatility markets In: Working Papers.
[Full Text][Citation analysis]
paper3
2012Approximate hedging problem with transaction costs in stochastic volatility markets.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2007Improved Model Selection Method for a Regression Function with Dependent Noise In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]
article2
2010General model selection estimation of a periodic regression with a Gaussian noise In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]
article3
2013Optimal consumption and investment for markets with random coefficients In: Finance and Stochastics.
[Full Text][Citation analysis]
article9
2002In the insurance business risky investments are dangerous In: Finance and Stochastics.
[Full Text][Citation analysis]
article24
1998Asymptotic Expansions for the Stochastic Approximation Averaging Procedure in Continuous Time In: Statistical Inference for Stochastic Processes.
[Full Text][Citation analysis]
article0
2003Sequential Estimation of the Parameters in a Trigonometric Regression Model with the Gaussian Coloured Noise In: Statistical Inference for Stochastic Processes.
[Full Text][Citation analysis]
article2
2006Asymptotically Efficient Sequential Kernel Estimates of the Drift Coefficient in Ergodic Diffusion Processes In: Statistical Inference for Stochastic Processes.
[Full Text][Citation analysis]
article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team