Ania & Katie (September 2007, 2 months old)

Anna Amirdjanova Department of Statistics University of Michigan Ann Arbor, MI 48109 Phone: (734) 763-3499 Fax: (734) 763-4676

Degrees:

• M.A., Mathematics, Lomonosov's Moscow State University
• Ph.D., Statistics, University of North Carolina at Chapel Hill

Thesis at Mech-Mat: "Some geometric modifications of Stein's effect"

Ph.D. dissertation: "Topics in stochastic fluid dynamics"

Research interests:

• Stochastic analysis, stochastic partial differential equations, particle systems
• Applications to nonlinear filtering, hydrodynamics, stochastic finance
• Gaussian random fields
• Nonstationary time series
• Nonparametric statistics

Selected papers and preprints:
• "Stochastic vorticity and associated filtering theory" (pdf) (2002)
in Applied Mathematics & Optimization
• "Nonlinear filtering with fractional Brownian motion" (pdf) (2002)
in Applied Mathematics & Optimization
• "Fluid dynamics and stochastic evolution equations" (monograph)
• "Large deviation principle for a stochastic Navier-Stokes equation in its vorticity form for a two-dimensional incompressible flow" (with Jie Xiong) (pdf) (2006)
in Discrete and Continuous Dynamical Systems, Series B
• "Shrinkage estimation for convex polyhedral cones" (with Michael Woodroofe) (pdf) (2004)
in Statistics & Probability Letters
• "Product formula and independence criterion for multiple Huang-Cambanis integrals" (with Sebastien Chivoret) (pdf) (2006)
shorter version is published in Statistics & Probability Letters
• "New method for optimal nonlinear filtering of noisy observations by multiple stochastic fractional integral expansions" (with Sebastien Chivoret) (pdf) (2006)
in Computers & Mathematics with Applications
• "Interaction between stock indices via changepoint analysis" (with Martin Lenardon) (pdf) (2006)
in Applied Stochastic Models in Business and Industry .
• "Vortex theory approach to stochastic hydrodynamics" (pdf) (2007)
in Mathematical and Computer Modelling .
• "Stochastic transfer principle for multiple integrals with respect to Gaussian random fields with applications" (pdf) (2007)
to appear in Integration: Mathematical Theory and Applications .
• "On a class of stochastic differential equations driven by multiple stochastic integrals".
• "Stochastic Feynman integral: generalizations and properties".
• "Inference for a class of SDEs driven by Volterra processes".
• "Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise'' (with Matthew Linn) (pdf) (2007)
to appear in Computers & Mathematics with Applications
• "Representations of the optimal filter in the context of nonlinear filtering of random fields'' (with Matthew Linn) (2007)
• ''Inverse stochastic transfer principle'' (with Matthew Linn) (2008)
Ph.D. students:
• Sebastien Chivoret, Ph.D. 2005 (joint with Charlie Doering)
• Matthew Linn, current
• Katarina Bodova, current (joint with Charlie Doering)
• Robert C. Reiner Jr., current
Some lectures:
Handouts on measure theory:
handout #1 (pdf)
handout #2 (pdf)
handout #3 (pdf)
handout #4 (pdf)
handout #5 (pdf)
handout #6 (pdf)
handout #7 (pdf)
Links:
• American Mathematical Society
• Institute of Mathematical Statistics
• MITACS-PINTS Center
• NSF
• UM-Library electronic resources
• Conferences
• Probability Web