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Gushchin Alexander Alexandrovich
(recent publications)

by years

scientific publications

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2017
1.	A. A. Gushchin, “The joint law of terminal values of a nonnegative submartingale and its compensator”, Teor. Veroyatnost. i Primenen., 62:2 (2017), 267–291
2.	Alexander Gushchin and Esko Valkeila, “Quadratic Approximation for Log-Likelihood Ratio Processes”, Modern Problems of Stochastic Analysis and Statistics, Selected Contributions in Honor of Valentin Konakov, Springer Proceedings in Mathematics & Statistics, 208, eds. Vladimir Panov, Springer International Publishing AG, Cham, 2017, 179–215
3.	A. A. Gushchin, D. A. Borzykh, “Integrated quantile functions: properties and applications”, Mod. Stoch., Theory Appl., 4:4 (2017), 285–314

2016
4.	A. A. Gushchin, “The minimum increment of $f$-divergences given total variation distances”, Math. Methods Statist., 25:4 (2016), 304–312

2015
5.	A. Gushchin, “A characterization of maximin tests for two composite hypotheses”, Math. Methods Statist., 24:2 (2015), 110–121
6.	Alexander A. Gushchin, Stochastic calculus for quantitative finance, ISTE, London; Elsevier, Kidlington, 2015 , 208 pp. www.sciencedirect.com/science/book/9781785480348

2016
7.	A. A. Gushchin, M. A. Urusov, “Processes that can be embedded in a geometric Brownian motion”, Theory Probab. Appl., 60:2 (2016), 246–262 (cited: 1)

2014
8.	A. A. Gushchin, R. V. Khasanov, I. S. Morozov, “Some functional analytic tools for utility maximization”, Modern stochastics and applications, Springer Optimization and Its Applications, 90, eds. V. Korolyuk, N. Limnios, Y. Mishura, L. Sakhno, G. Shevchenko, Springer, 2014, 267–285
9.	A. A. Gushchin, “On pathwise counterparts of Doob's maximal inequalities”, Proc. Steklov Inst. Math., 287:1 (2014), 118–121
10.	Alexander Gushchin, Mikhail Urusov, Mihail Zervos, “On the submartingale/supermartingale property of diffusions in natural scale”, Proc. Steklov Inst. Math., 287:1 (2014), 122–132 (cited: 2) (cited: 3) (cited: 2) (cited: 2) (cited: 3)
11.	Stokhasticheskoe ischislenie, martingaly i ikh primeneniya, Sbornik statei. K 80-letiyu so dnya rozhdeniya akademika Alberta Nikolaevicha Shiryaeva, Tr. MIAN, 287, ed. A. A. Guschin, A. G. Sergeev, MAIK «Nauka/Interperiodika», M., 2014 , 319 pp.

2013
12.	A. A. Gushchin, “On the upper hedging price of nonnegative contingent claims”, Modern problems of mathematics and mechanics. Volume VIII. Mathematics. Issue 3. To the 80th anniversary of Mechanics and Mathematics Department of MSU, eds. A. N. Shiryaev, A. V. Lebedev, MSU Press, Moscow, 2013, 60–72
13.	A. A. Gushchin, “A characterization of a minimax test in the problem of testing two composite hypotheses”, Dokl. Math., 87:3 (2013), 345–347 (cited: 1) (cited: 1) (cited: 1) (cited: 1)
14.	A. A. Gushchin, “On a connection between superhedging prices and the dual problem in utility maximization”, Advanced finance and stochastics, Book of Abstracts (Moscow, 24–28 June 2013), eds. M. Zhitlukhin and A. Muravlev, Steklov Mathematical Institute, Moscow, 2013, 60–61
15.	A. Gushchin, “Translation invariant statistical experiments with independent increments”, Russian-Chinese Seminar on Asymptotic Methods in Probability Theory and Mathematical Statistics. Programme and Abstracts (St.Petersburg, 10–14 June, 2013), The Euler International Mathematical Institute, 2013, 24 http://www.pdmi.ras.ru/EIMI/2013/RChS/prog.pdf

2012
16.	A. A. Gushchin, “On a structure of a minimax test in testing composite hypotheses”, International conference “Stochastic Optimization and Optimal Stopping”. Book of abstracts (Moscow, 24–28 September 2012), eds. Mikhail Zhitlukhin and Alexey Muravlev, Steklov Mathematical Institute, Moscow, 2012, 79–80

2011
17.	A. A. Gushchin, U. Küchler, “On estimation of delay location”, Stat. Inference Stoch. Process., 14:3 (2011), 273–305 (cited: 2) (cited: 2) (cited: 2)
18.	A. A. Gushchin, “Utility maximization in some markets admitting arbitrage”, Theory Probab. Appl., 55:3 (2011), 548
19.	A. A. Gushchin, “Dual characterization of the value function in the robust utility maximization problem”, Theory Probab. Appl., 55:4 (2011), 611–630 (cited: 1) (cited: 2) (cited: 1) (cited: 1) (cited: 3)
20.	Yu. S. Mishura, A. A. Gushchin, “International Conference “Modern Stochastics: Theory and Applications II””, Theory Probab. Appl., 55:4 (2011), 732 (cited: 12)

Full list of publications