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Some results about averaging in stochastic approximation
Le Breton, Alain - In: Metrika : international journal for theoretical and … 42 (1995) 3, pp. 153-171
Persistent link: https://www.econbiz.de/10001186298
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First passage time of Filtered Poisson Process with exponential shape function
Novikov, Alexander; Melchers, R. E.; Shinjikashvili, E.; … - 2003
Persistent link: https://www.econbiz.de/10002250933
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Explicit bounds for approximation rates for boundary crossing probabilities for the Wiener process
Borovkov, Konstantin A.; Novikov, Alexander - 2004
Persistent link: https://www.econbiz.de/10002251014
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On tail distributions of supremum and quadratic variation of local martingales
Liptser, R.; Novikov, Alexander - 2004
Persistent link: https://www.econbiz.de/10002251058
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On fair pricing of emission-related derivatives
Hinz, Juri; Novikov, Alexander - 2009
Persistent link: https://www.econbiz.de/10008662362
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A structural model with unobserved default boundary
Schmidt, Thorsten; Novikov, Alexander - In: Applied mathematical finance 15 (2008) 1/2, pp. 183-203
Persistent link: https://www.econbiz.de/10003751162
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On a solution of the optimal stopping problem for processes with independent increments
Novikov, Alexander; Širjaev, Alʹbert N. - 2006
Persistent link: https://www.econbiz.de/10003361829
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Pricing of defaultable securities under stochastic interest
Kordzakhia, Nino; Novikov, Alexander - 2007
Persistent link: https://www.econbiz.de/10003452454
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Pricing of defaultable securities under stochastic interest
Kordzakhia, Nino; Novikov, Alexander - In: Mathematical control theory and finance, (pp. 251-263). 2008
Persistent link: https://www.econbiz.de/10003755613
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Martingales and first passage times of AR(1) sequences
Novikov, Alexander; Kordzakhia, Nino - 2007
Persistent link: https://www.econbiz.de/10003856732