7
H index
5
i10 index
217
Citations
Vladimir Ilich Piterbarg : Citation Profile
National Research University Higher School of Economics (HSE) | RESEARCH PRODUCTION: 10 Articles 2 Papers RESEARCH ACTIVITY:
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36 years (1984 - 2020). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Vladimir Ilich Piterbarg. | Is cited by:
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Main data
Where Vladimir Ilich Piterbarg has published?
| Journals with more than one article published | # docs |
|---|---|
| Stochastic Processes and their Applications | 5 |
| Statistics & Probability Letters | 2 |
Recent works citing Vladimir Ilich Piterbarg (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913. Full description at Econpapers || Download paper |
| 2024 | Sandwiched Volterra Volatility model: Markovian approximations and hedging. (2022). Yurchenko-Tytarenko, Anton ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.13054. Full description at Econpapers || Download paper |
| 2023 | Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547. Full description at Econpapers || Download paper |
| 2024 | Hydrodynamics of Markets:Hidden Links Between Physics and Finance. (2024). Lipton, Alexander. In: Papers. RePEc:arx:papers:2403.09761. Full description at Econpapers || Download paper |
| 2023 | An explosion time characterization of asset price bubbles. (2023). Jarrow, Robert ; Kwok, Simon S. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:469-479. Full description at Econpapers || Download paper |
| 2023 | Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. (2023). Kwok, Yue Kuen ; Jiang, Pingping ; Xu, Ziqing ; Zeng, Pingping. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:842-890. Full description at Econpapers || Download paper |
| 2023 | Reduced-form framework for multiple ordered default times under model uncertainty. (2023). Oberpriller, Katharina ; Mazzon, Andrea ; Biagini, Francesca. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:156:y:2023:i:c:p:1-43. Full description at Econpapers || Download paper |
| 2023 | Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend. (2023). Peng, Xiaofan ; Ji, Lanpeng. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:158:y:2023:i:c:p:418-452. Full description at Econpapers || Download paper |
| 2023 | Simultaneous ruin probability for multivariate Gaussian risk model. (2023). Kriukov, Nikolai ; Debicki, Krzysztof ; Bisewski, Krzysztof. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:386-408. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2024 | Calibration in the “real world” of a partially specified stochastic volatility model. (2024). Mariani, Francesca ; Fatone, Lorella ; Zirilli, Francesco. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:75-102. Full description at Econpapers || Download paper |
Works by Vladimir Ilich Piterbarg:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1984 | On the convergence rate of maximal deviation distribution for kernel regression estimates In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 18 |
| 2004 | On the ruin probability for physical fractional Brownian motion In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 8 |
| 2004 | Limit theorem for maximum of the storage process with fractional Brownian motion as input In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 3 |
| 2006 | On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 10 |
| 2008 | A limit theorem for the time of ruin in a Gaussian ruin problem In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 5 |
| 2020 | High excursions of Bessel and related random processes In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 2008 | On estimation of the exponent of regular variation using a sample with missing observations In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 1 |
| 2011 | Log-likelihood ratio test for detecting transient change In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 9 |
| 2002 | Discrete vs continuous time for large extremes of Gaussian processes. In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Moment explosions in stochastic volatility models In: Finance and Stochastics. [Full Text][Citation analysis] | article | 122 |
| 2001 | Nonparametric estimation of the spectral measure of an extreme value distribution In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 29 |
| 2008 | A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 12 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team