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
- Nonlinear filtering
- Finance and real estate asset pricing
- 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)
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"
(with Bobby Reiner).
- "Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional
Brownian sheet observation noise'' (with Matthew Linn) (pdf) (2008)
in Computers & Mathematics with Applications
- "Representations of the optimal filter in the context of nonlinear filtering of random fields'' (with Matthew Linn) (2008)
accepted for publication in Stochastic Processes and their Applications
- ''Inverse stochastic transfer principle'' (with Matthew Linn) (2008)
Current federal grants:
Research is supported in part by NSF (DMS-0807635, PI) and
NSA (MDA904-07-1-0056, PI)
Links:
