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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

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

2015
3.	A. Gushchin, “A characterization of maximin tests for two composite hypotheses”, Math. Methods Statist., 24:2 (2015), 110–121
4.	Alexander A. Gushchin, Stochastic calculus for quantitative finance, ISTE, London; Elsevier, Kidlington, 2015 , 208 pp. www.sciencedirect.com/science/book/9781785480348
5.	A. A. Guschin, M. A. Urusov, “Protsessy, vkladyvayuschiesya v geometricheskoe brounovskoe dvizhenie”, TVP, 60:2 (2015), 248–271 ; A. A. Gushchin, M. A. Urusov, “Processes that can be embedded in a geometric Brownian motion”, Theory Probab. Appl., 60:2 (2016), 246–262

2014
6.	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
7.	A. A. Gushchin, “On pathwise counterparts of Doob's maximal inequalities”, Proc. Steklov Inst. Math., 287:1 (2014), 118–121
8.	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: 1) (cited: 2) (cited: 2) (cited: 3)
9.	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, M., 2014 , 319 pp.

2013
10.	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
11.	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)
12.	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
13.	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
14.	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
15.	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)

2010
16.	A. A. Guschin, “Maksimizatsiya poleznosti na nekotorykh rynkakh, dopuskayuschikh arbitrazh”, TVP, 55:3 (2010), 613 ; A. A. Gushchin, “Utility maximization in some markets admitting arbitrage”, Theory Probab. Appl., 55:3 (2011), 548
17.	A. A. Guschin, “Dvoistvennaya kharakterizatsiya tseny v zadache maksimizatsii robastnoi poleznosti”, TVP, 55:4 (2010), 680–704 (cited: 2) (cited: 2) ; 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: 1) (cited: 1) (cited: 2)
18.	Yu. S. Mishura, A. A. Guschin, “Mezhdunarodnaya konferentsiya “Sovremennaya stokhastika: teoriya i primeneniya II””, TVP, 55:4 (2010), 822–823 ; Yu. S. Mishura, A. A. Gushchin, “International Conference “Modern Stochastics: Theory and Applications II””, Theory Probab. Appl., 55:4 (2011), 732 (cited: 12)

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