Details about Sergey Pergamenshchikov

Access statistics for papers by Sergey Pergamenshchikov.

Last updated 2014-06-20. Update your information in the RePEc Author Service.

Short-id: ppe683

Working Papers

2015

1. Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters
   Papers, arXiv.org
   Also in Working Papers, HAL (2012)

2012

2. Approximate hedging problem with transaction costs in stochastic volatility markets
   Working Papers, HAL View citations (3)
   Also in Working Papers, HAL (2012)

Journal Articles

2013

1. Optimal consumption and investment for markets with random coefficients
   Finance and Stochastics, 2013, 17, (2), 419-446 View citations (13)
2. Uniform concentration inequality for ergodic diffusion processes observed at discrete times
   Stochastic Processes and their Applications, 2013, 123, (1), 91-109 View citations (4)

2010

3. General model selection estimation of a periodic regression with a Gaussian noise
   Annals of the Institute of Statistical Mathematics, 2010, 62, (6), 1083-1111 View citations (5)

2007

4. Improved Model Selection Method for a Regression Function with Dependent Noise
   Annals of the Institute of Statistical Mathematics, 2007, 59, (3), 435-464 View citations (8)
5. Uniform concentration inequality for ergodic diffusion processes
   Stochastic Processes and their Applications, 2007, 117, (7), 830-839 View citations (4)

2006

6. Asymptotically Efficient Sequential Kernel Estimates of the Drift Coefficient in Ergodic Diffusion Processes
   Statistical Inference for Stochastic Processes, 2006, 9, (1), 1-16 View citations (5)
7. Asymptotically efficient estimates for nonparametric regression models
   Statistics & Probability Letters, 2006, 76, (8), 852-860 View citations (6)
8. Ruin probability in the presence of risky investments
   Stochastic Processes and their Applications, 2006, 116, (2), 267-278 View citations (7)

2003

9. Sequential Estimation of the Parameters in a Trigonometric Regression Model with the Gaussian Coloured Noise
   Statistical Inference for Stochastic Processes, 2003, 6, (3), 215-235 View citations (5)

2002

10. In the insurance business risky investments are dangerous
    Finance and Stochastics, 2002, 6, (2), 227-235 View citations (30)

1998

11. Asymptotic Expansions for the Stochastic Approximation Averaging Procedure in Continuous Time
    Statistical Inference for Stochastic Processes, 1998, 1, (2), 197-223