Pergamenshchikov Sergey Markovich

Publications in Math-Net.Ru

1. Hedging problem for the Asian call options with transaction costs
   
   Teor. Veroyatnost. i Primenen., 68:2 (2023),  253–276
2. Super-efficient robust estimation in Lévy continuous time regression models from discrete data
   
   Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2023, no. 85,  22–31
3. Approximate hedging with constant proportional transaction costs in financial markets with jumps
   
   Teor. Veroyatnost. i Primenen., 65:2 (2020),  281–311
4. Improved model selection method for an adaptive estimation in semimartingale regression models
   
   Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2019, no. 58,  14–31
5. Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters
   
   Teor. Veroyatnost. i Primenen., 60:4 (2015),  628–659
6. Estimation of the regression with a pulse noise by discrete time observations
   
   Teor. Veroyatnost. i Primenen., 58:3 (2013),  454–471
7. Nonparametric estimation in a semimartingale regression model. Part 2. Robust asymptotic efficiency
   
   Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2009, no. 4(8),  31–45
8. Non-parametric estimation in a semimartingale regression model. Part 1. Oracle inequalities
   
   Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2009, no. 3(7),  23–41
9. Nonparametric Estimation for an Autoregressive Model
   
   Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2008, no. 2(3),  20–30
10. On the Guaranteed Parameter Estimation in Linear Regression Subject to Dependent Noise
    
    Avtomat. i Telemekh., 1997, no. 2,  75–87
11. Guaranteed Estimation of a Periodic Signal Distorted by an Autoregressive Noise with Unknown Parameters
    
    Probl. Peredachi Inf., 33:4 (1997),  26–44
12. The prescribed precision estimators of the autoregression parameter using the generalized least square method
    
    Teor. Veroyatnost. i Primenen., 41:4 (1996),  765–784
13. On the estimation of an autoregressive parameter on the basis of the generalized method of least squares
    
    Uspekhi Mat. Nauk, 50:6(306) (1995),  187–188
14. Large deviations for solutions of singularly perturbed stochastic differential equations
    
    Uspekhi Mat. Nauk, 50:5(305) (1995),  147–172
15. Asymptotic expansions for a model with distinguished “fast” and “slow” variables, described by a system of singularly perturbed stochastic differential equations
    
    Uspekhi Mat. Nauk, 49:4(298) (1994),  3–46
16. Guaranteed estimation of autoregression parameters on the basis of a sequential correlational method
    
    Trudy Mat. Inst. Steklov., 202 (1993),  149–169
17. Sequential Parameter Estimation with Guaranteed Mean-Square Accuracy for Unstable Linear Stochastic Systems
    
    Probl. Peredachi Inf., 28:4 (1992),  35–48
18. Sequential Estimation of the Parameter of a Stochastic Difference Equation with Random Coefficients
    
    Teor. Veroyatnost. i Primenen., 37:3 (1992),  482–501
19. Sets of accesibility for controlled stochastic differential equations
    
    Uspekhi Mat. Nauk, 46:1(277) (1991),  209–210
20. Asymptotic properties of a sequential plan for estimating a first-order autoregression parameter
    
    Teor. Veroyatnost. i Primenen., 36:1 (1991),  42–53
21. Singularly perturbed stochastic equations and partial differential equations
    
    Dokl. Akad. Nauk SSSR, 311:5 (1990),  1039–1042
22. Singular perturbations of stochastic differential equations
    
    Mat. Sb., 181:9 (1990),  1170–1182
23. On guaranteed parameter estimation for unstable dynamic systems
    
    Avtomat. i Telemekh., 1988, no. 11,  130–141
24. On Sequential Estimation of Parameters of Diffusion Processes
    
    Probl. Peredachi Inf., 21:1 (1985),  48–61
25. Asymptotic normality of sequential parameter estimation for dynamic systems
    
    Avtomat. i Telemekh., 1984, no. 12,  56–63
26. Successive procedures of parameter identification in dynamic systems
    
    Avtomat. i Telemekh., 1981, no. 7,  84–92


27. In memory of Prof. G. G. Pestov: life and scientific-educational activity
    
    Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2015, no. 5(37),  103–114