NOVIKOV Alexander
Titel
Zitiert von
Zitiert von
Jahr
On an identity for stochastic integrals
AA Novikov
Theory of Probability & Its Applications 17 (4), 717-720, 1973
1551973
Approximations of boundary crossing probabilities for a Brownian motion
A Novikov, V Frishling, N Kordzakhia
Journal of Applied Probability, 1019-1030, 1999
1061999
Sequential estimation of the parameters of diffusion processes
AA Novikov
Mathematical Notes of the Academy of Sciences of the USSR 12 (5), 812-818, 1972
801972
On a new approach to calculating expectations for option pricing
K Borovkov, A Novikov
Journal of applied probability, 889-895, 2002
692002
On an effective solution of the optimal stopping problem for random walks
AA Novikov, AN Shiryaev
Theory of Probability & Its Applications 49 (2), 344-354, 2005
682005
On discontinuous martingales
AA Novikov
Theory of Probability & Its Applications 20 (1), 11-26, 1975
681975
On some maximal inequalities for fractional Brownian motions
A Novikov, E Valkeila
Statistics & probability letters 44 (1), 47-54, 1999
611999
Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
A Novikov
Theory of Probability & Its Applications 48 (2), 288-303, 2004
562004
On stopping times for a Wiener process
AA Novikov
Theory of Probability & Its Applications 16 (3), 449-456, 1971
561971
Explicit bounds for approximation rates of boundary crossing probabilities for the Wiener process
K Borovkov, A Novikov
Journal of Applied Probability 42 (1), 82-92, 2005
502005
On moment inequalities for stochastic integrals
AA Novikov
Theory of Probability & Its Applications 16 (3), 538-541, 1971
501971
Explicit analytical solutions for the average run length of CUSUM and EWMA charts
G Mititelu, Y Areepong, S Sukparungsee, A Novikov
East-West Journal of Mathematics, 2010
482010
On a solution of the optimal stopping problem for processes with independent increments
A Novikov, A Shiryaev
Stochastics An International Journal of Probability and Stochastic Processes …, 2007
482007
On the first passage time of an autoregressive process over a level and an application to a “disorder” problem
AA Novikov
Theory of Probability & Its Applications 35 (2), 269-279, 1991
47*1991
On a stochastic version of the trading rule “buy and hold”
A Shiryaev, AA Novikov
Statistics & Risk Modeling 26 (4), 289-302, 2009
462009
Adaptive sequential tests for composite hypotheses
VP Dragalin, AA Novikov
Surveys in Applied and Industrial Mathematics 6 (2), 387-398, 1999
401999
First passage time of filtered Poisson process with exponential shape function
A Novikov, RE Melchers, E Shinjikashvili, N Kordzakhia
Probabilistic engineering mechanics 20 (1), 57-65, 2005
362005
Geometric Lévy process pricing model
Y Miyahara, AA Novikov
Труды Математического института имени ВА Стеклова 237 (0), 185-200, 2002
362002
On EWMA procedure for detection of a change in observations via martingale approach
S Sukparungsee, A Novikov
CURRENT APPLIED SCIENCE AND TECHNOLOGY 6 (2a), 373-380, 2006
332006
Time-dependent barrier options and boundary crossing probabilities
A Novikov, V Frishling, N Kordzakhia
Georgian Mathematical Journal 10 (2), 325-334, 2003
332003
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