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Dokuchaev, Nikolai G.

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Author ID: dokuchaev.nikolai-g Recent zbMATH articles by "Dokuchaev, Nikolai G."
Published as: Dokuchaev, N.; Dokuchaev, N. G.; Dokuchaev, Nikolai; Dokuchaev, Nikolai G.
Documents Indexed: 96 Publications since 1982, including 4 Books
all top 5

Serials

7 Differential Equations
6 Theory of Probability and its Applications
6 Vestnik St. Petersburg University. Mathematics
5 Journal of Physics A: Mathematical and Theoretical
4 Differentsial’nye Uravneniya
4 IMA Journal of Management Mathematics
3 International Journal of Theoretical and Applied Finance
3 Stochastics
2 Teoriya Veroyatnosteĭ i eë Primeneniya
2 Vestnik Leningradskogo Universiteta. Matematika, Mekhanika, Astronomiya
2 SIAM Journal on Control and Optimization
2 Insurance Mathematics & Economics
2 IEEE Transactions on Signal Processing
2 European Journal of Operational Research
2 Vestnik Leningrad University. Mathematics
2 Journal of Mathematical Sciences (New York)
2 Random Operators and Stochastic Equations
2 Discrete and Continuous Dynamical Systems
2 Journal of Nonparametric Statistics
2 Mathematical Finance
2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
2 Discrete and Continuous Dynamical Systems. Series B
1 Journal of Mathematical Analysis and Applications
1 Applied Mathematics and Computation
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of Mathematical Economics
1 Theory and Decision
1 Systems & Control Letters
1 Stochastic Analysis and Applications
1 Probability Theory and Related Fields
1 Leningrad University Mechanics Bulletin
1 IMA Journal of Mathematical Control and Information
1 Signal Processing
1 Automation and Remote Control
1 Communications in Statistics. Theory and Methods
1 Journal of Computer and Systems Sciences International
1 Calculus of Variations and Partial Differential Equations
1 Applied Mathematical Finance
1 Obozrenie Prikladnoĭ i Promyshlennoĭ Matematiki
1 Journal of Difference Equations and Applications
1 Electronic Communications in Probability
1 Dynamics of Continuous, Discrete and Impulsive Systems
1 Quantitative Finance
1 Stochastics and Dynamics
1 Dynamics of Partial Differential Equations
1 Kibernetika i Vychislitel’naya Tekhnika
1 International Series in Operations Research & Management Science
1 Annals of Finance

Publications by Year

Citations contained in zbMATH

56 Publications have been cited 181 times in 106 Documents Cited by Year
Stochastic controls with terminal contingent conditions. Zbl 0937.93053
Dokuchaev, Nikolai; Zhou, Xun Yu
35
1999
Discrete time market with serial correlations and optimal myopic strategies. Zbl 1111.90059
Dokuchaev, Nikolai
11
2007
Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information. Zbl 0997.91023
Dokuchaev, Nikolai
7
2002
Optimal solution of investment problems via linear parabolic equations generated by Kalman filter. Zbl 1110.49025
Dokuchaev, Nikolai
6
2005
Estimates for distances between first exit times via parabolic equations in unbounded cylinders. Zbl 1056.60030
Dokuchaev, Nikolai
6
2004
A bounded risk strategy for a market with non-observable parameters. Zbl 1055.91024
Dokuchaev, Nikolai G.; Savkin, Andrey V.
6
2002
Backward parabolic Ito equations and the second fundamental inequality. Zbl 1273.60075
Dokuchaev, Nikolai
5
2012
Duality and semi-group property for backward parabolic Itô equations. Zbl 1224.60192
Dokuchaev, Nikolai
5
2010
Optimal investment strategies with bounded risks, general utilities, and goal achieving. Zbl 0992.91048
Dokuchaev, Nikolai; Zhou, Xun Yu
5
2001
Boundary value problems for functionals of Itô processes. Zbl 0776.60072
Dokuchaev, N. G.
5
1991
A first-order BSPDE for swing option pricing. Zbl 1391.91154
Bender, Christian; Dokuchaev, Nikolai
4
2016
Regularity for some backward heat equations. Zbl 1186.35093
Dokuchaev, Nikolai
4
2010
Parabolic Ito equations with mixed in time conditions. Zbl 1148.60035
Dokuchaev, Nikolai
4
2008
Parabolic Itô equations with nonsmooth nonlinearity and duality approach. Zbl 1064.60150
Dokuchaev, N. G.
4
2003
Instability and stability of solutions of systems of nonlinear stochastic difference equations with diagonal noise. Zbl 1291.39041
Rodkina, Alexandra; Dokuchaev, Nikolai
3
2014
Continuously controlled options: derivatives with added flexibility. Zbl 1275.91131
Dokuchaev, Nikolai
3
2013
Representation of functionals of Itô processes and their first exit times. Zbl 1221.60091
Dokuchaev, Nikolai
3
2011
Optimality of myopic strategies for multi-stock discrete time market with management costs. Zbl 1177.91076
Dokuchaev, Nikolai
3
2010
The predictability of band-limited, high-frequency and mixed processes in the presence of ideal low-pass filters. Zbl 1147.60026
Dokuchaev, Nikolai
3
2008
Maximin investment problems for discounted and total wealth. Zbl 1213.91138
Dokuchaev, Nikolai
3
2008
Mean-reverting market model: speculative opportunities and non-arbitrage. Zbl 1143.91016
Dokuchaev, Nikolai
3
2007
Parabolic Itô equations and second fundamental inequality. Zbl 1083.60054
Dokuchaev, Nikolai
3
2005
Universal strategies for diffusion markets and possibility of asymptotic arbitrage. Zbl 1188.91199
Dokuchaev, N. G.; Savkin, Andrey V.
3
2004
Optimal portfolio selection and compression in an incomplete market. Zbl 1405.91548
Dokuchaev, N.; Haussmann, U.
3
2001
On forward and backward SPDEs with non-local boundary conditions. Zbl 1334.60108
Dokuchaev, Nikolai
2
2015
On limit periodicity of discrete time stochastic processes. Zbl 1300.93156
Rodkina, Alexandra; Dokuchaev, Nikolai; Appleby, John
2
2014
Mutual fund theorem for continuous time markets with random coefficients. Zbl 1410.91412
Dokuchaev, Nikolai
2
2014
On prescribed change of profile for solutions of parabolic equations. Zbl 1219.35122
Dokuchaev, Nikolai
2
2011
Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations. Zbl 1198.91185
Dokuchaev, Nikolai
2
2010
Predictability on finite horizon for processes with exponential decrease of energy on higher frequencies. Zbl 1177.94115
Dokuchaev, Nikolai
2
2010
Mathematical finance. Core theory, problems and statistical algorithms. Zbl 1173.91002
Dokuchaev, Nikolai
2
2007
Parabolic equations without Cauchy boundary condition and control problems for diffusion processes. II. Zbl 1031.35504
Dokuchaev, N. G.
2
1995
Distributions of Itô processes: Estimates for the density and for conditional expectations of integral functionals. Zbl 0844.60030
Dokuchaev, N. G.
2
1994
Integral estimates for solutions of ordinary differential equations with a discontinuity on a domain boundary. Zbl 0810.34025
Dokuchaev, N. G.
2
1992
Boundary problems for functionals in Itô processes. Zbl 0739.60056
Dokuchaev, N. G.
2
1991
A frequency criterion for the existence of optimal control for Ito equations. Zbl 0509.93071
Dokuchaev, N. G.
2
1983
A first-order BSPDE for swing option pricing: classical solutions. Zbl 1414.91362
Bender, Christian; Dokuchaev, Nikolai
1
2017
Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization. Zbl 1433.91175
Hin, Lin-Yee; Dokuchaev, Nikolai
1
2016
Degenerate backward SPDEs in bounded domains and applications to barrier options. Zbl 1335.60110
Dokuchaev, Nikolai
1
2015
Predictors for discrete time processes with energy decay on higher frequencies. Zbl 1393.94215
Dokuchaev, Nikolai
1
2012
Dimension reduction and mutual fund theorem in maximin setting for Bond market. Zbl 1229.93165
Dokuchaev, Nikolai
1
2011
Option pricing via maximization over uncertainty and correction of volatility smile. Zbl 1218.91153
Dokuchaev, Nikolai
1
2011
Multiple rescindable options and their pricing. Zbl 1182.91170
Dokuchaev, Nikolai
1
2009
Estimates for first exit times of non-Markovian Itô processes. Zbl 1146.60034
Dokuchaev, Nikolai
1
2008
Parabolic equations with the second-order Cauchy conditions on the boundary. Zbl 1126.35033
Dokuchaev, Nikolai
1
2007
Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation. Zbl 1280.91147
Dokuchaev, Nikolai
1
2006
Optimal hedging strategy for a portfolio investment problem with additional constraints. Zbl 1017.91029
Dokuchaev, N. G.; Teo, K. L.
1
2000
Local sojourn time of diffusion and degenerating processes on a mobile surface. Zbl 0981.60071
Dokuchaev, N. G.
1
1998
Random process optimal stopping in the problem with constraints. Zbl 0913.60038
Dokuchaev, N. G.
1
1996
\(S\)-procedure and duality for nonlinear stochastic problems. Zbl 0887.60066
Dokuchaev, N. G.
1
1995
Nonstationary control problems for diffusion processes on an infinite time interval. Zbl 0855.60055
Dokuchaev, N. G.
1
1994
Parabolic equations without the Cauchy boundary condition and problems on control over diffusion processes. I. Zbl 0855.35050
Dokuchaev, N. G.
1
1994
A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints. Zbl 0839.93080
Dokuchaev, N. G.; Yakubovich, V. A.
1
1992
On transversality conditions for the stochastic maximum principle. Zbl 0671.49033
Dokuchaev, N. G.
1
1988
On first exit times for homogeneous diffusion processes. Zbl 0623.60101
Dokuchaev, N. G.
1
1987
The maximum principle for stochastic differential equations with determined control. Zbl 0509.93067
Dokuchaev, N. G.; Yakubovich, V. A.
1
1982
A first-order BSPDE for swing option pricing: classical solutions. Zbl 1414.91362
Bender, Christian; Dokuchaev, Nikolai
1
2017
A first-order BSPDE for swing option pricing. Zbl 1391.91154
Bender, Christian; Dokuchaev, Nikolai
4
2016
Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization. Zbl 1433.91175
Hin, Lin-Yee; Dokuchaev, Nikolai
1
2016
On forward and backward SPDEs with non-local boundary conditions. Zbl 1334.60108
Dokuchaev, Nikolai
2
2015
Degenerate backward SPDEs in bounded domains and applications to barrier options. Zbl 1335.60110
Dokuchaev, Nikolai
1
2015
Instability and stability of solutions of systems of nonlinear stochastic difference equations with diagonal noise. Zbl 1291.39041
Rodkina, Alexandra; Dokuchaev, Nikolai
3
2014
On limit periodicity of discrete time stochastic processes. Zbl 1300.93156
Rodkina, Alexandra; Dokuchaev, Nikolai; Appleby, John
2
2014
Mutual fund theorem for continuous time markets with random coefficients. Zbl 1410.91412
Dokuchaev, Nikolai
2
2014
Continuously controlled options: derivatives with added flexibility. Zbl 1275.91131
Dokuchaev, Nikolai
3
2013
Backward parabolic Ito equations and the second fundamental inequality. Zbl 1273.60075
Dokuchaev, Nikolai
5
2012
Predictors for discrete time processes with energy decay on higher frequencies. Zbl 1393.94215
Dokuchaev, Nikolai
1
2012
Representation of functionals of Itô processes and their first exit times. Zbl 1221.60091
Dokuchaev, Nikolai
3
2011
On prescribed change of profile for solutions of parabolic equations. Zbl 1219.35122
Dokuchaev, Nikolai
2
2011
Dimension reduction and mutual fund theorem in maximin setting for Bond market. Zbl 1229.93165
Dokuchaev, Nikolai
1
2011
Option pricing via maximization over uncertainty and correction of volatility smile. Zbl 1218.91153
Dokuchaev, Nikolai
1
2011
Duality and semi-group property for backward parabolic Itô equations. Zbl 1224.60192
Dokuchaev, Nikolai
5
2010
Regularity for some backward heat equations. Zbl 1186.35093
Dokuchaev, Nikolai
4
2010
Optimality of myopic strategies for multi-stock discrete time market with management costs. Zbl 1177.91076
Dokuchaev, Nikolai
3
2010
Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations. Zbl 1198.91185
Dokuchaev, Nikolai
2
2010
Predictability on finite horizon for processes with exponential decrease of energy on higher frequencies. Zbl 1177.94115
Dokuchaev, Nikolai
2
2010
Multiple rescindable options and their pricing. Zbl 1182.91170
Dokuchaev, Nikolai
1
2009
Parabolic Ito equations with mixed in time conditions. Zbl 1148.60035
Dokuchaev, Nikolai
4
2008
The predictability of band-limited, high-frequency and mixed processes in the presence of ideal low-pass filters. Zbl 1147.60026
Dokuchaev, Nikolai
3
2008
Maximin investment problems for discounted and total wealth. Zbl 1213.91138
Dokuchaev, Nikolai
3
2008
Estimates for first exit times of non-Markovian Itô processes. Zbl 1146.60034
Dokuchaev, Nikolai
1
2008
Discrete time market with serial correlations and optimal myopic strategies. Zbl 1111.90059
Dokuchaev, Nikolai
11
2007
Mean-reverting market model: speculative opportunities and non-arbitrage. Zbl 1143.91016
Dokuchaev, Nikolai
3
2007
Mathematical finance. Core theory, problems and statistical algorithms. Zbl 1173.91002
Dokuchaev, Nikolai
2
2007
Parabolic equations with the second-order Cauchy conditions on the boundary. Zbl 1126.35033
Dokuchaev, Nikolai
1
2007
Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation. Zbl 1280.91147
Dokuchaev, Nikolai
1
2006
Optimal solution of investment problems via linear parabolic equations generated by Kalman filter. Zbl 1110.49025
Dokuchaev, Nikolai
6
2005
Parabolic Itô equations and second fundamental inequality. Zbl 1083.60054
Dokuchaev, Nikolai
3
2005
Estimates for distances between first exit times via parabolic equations in unbounded cylinders. Zbl 1056.60030
Dokuchaev, Nikolai
6
2004
Universal strategies for diffusion markets and possibility of asymptotic arbitrage. Zbl 1188.91199
Dokuchaev, N. G.; Savkin, Andrey V.
3
2004
Parabolic Itô equations with nonsmooth nonlinearity and duality approach. Zbl 1064.60150
Dokuchaev, N. G.
4
2003
Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information. Zbl 0997.91023
Dokuchaev, Nikolai
7
2002
A bounded risk strategy for a market with non-observable parameters. Zbl 1055.91024
Dokuchaev, Nikolai G.; Savkin, Andrey V.
6
2002
Optimal investment strategies with bounded risks, general utilities, and goal achieving. Zbl 0992.91048
Dokuchaev, Nikolai; Zhou, Xun Yu
5
2001
Optimal portfolio selection and compression in an incomplete market. Zbl 1405.91548
Dokuchaev, N.; Haussmann, U.
3
2001
Optimal hedging strategy for a portfolio investment problem with additional constraints. Zbl 1017.91029
Dokuchaev, N. G.; Teo, K. L.
1
2000
Stochastic controls with terminal contingent conditions. Zbl 0937.93053
Dokuchaev, Nikolai; Zhou, Xun Yu
35
1999
Local sojourn time of diffusion and degenerating processes on a mobile surface. Zbl 0981.60071
Dokuchaev, N. G.
1
1998
Random process optimal stopping in the problem with constraints. Zbl 0913.60038
Dokuchaev, N. G.
1
1996
Parabolic equations without Cauchy boundary condition and control problems for diffusion processes. II. Zbl 1031.35504
Dokuchaev, N. G.
2
1995
\(S\)-procedure and duality for nonlinear stochastic problems. Zbl 0887.60066
Dokuchaev, N. G.
1
1995
Distributions of Itô processes: Estimates for the density and for conditional expectations of integral functionals. Zbl 0844.60030
Dokuchaev, N. G.
2
1994
Nonstationary control problems for diffusion processes on an infinite time interval. Zbl 0855.60055
Dokuchaev, N. G.
1
1994
Parabolic equations without the Cauchy boundary condition and problems on control over diffusion processes. I. Zbl 0855.35050
Dokuchaev, N. G.
1
1994
Integral estimates for solutions of ordinary differential equations with a discontinuity on a domain boundary. Zbl 0810.34025
Dokuchaev, N. G.
2
1992
A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints. Zbl 0839.93080
Dokuchaev, N. G.; Yakubovich, V. A.
1
1992
Boundary value problems for functionals of Itô processes. Zbl 0776.60072
Dokuchaev, N. G.
5
1991
Boundary problems for functionals in Itô processes. Zbl 0739.60056
Dokuchaev, N. G.
2
1991
On transversality conditions for the stochastic maximum principle. Zbl 0671.49033
Dokuchaev, N. G.
1
1988
On first exit times for homogeneous diffusion processes. Zbl 0623.60101
Dokuchaev, N. G.
1
1987
A frequency criterion for the existence of optimal control for Ito equations. Zbl 0509.93071
Dokuchaev, N. G.
2
1983
The maximum principle for stochastic differential equations with determined control. Zbl 0509.93067
Dokuchaev, N. G.; Yakubovich, V. A.
1
1982
all top 5

Cited by 117 Authors

29 Dokuchaev, Nikolai G.
5 Mezerdi, Brahim
4 Meng, Qingxin
4 Shi, Jingtao
4 Wu, Zhen
3 Bahlali, Khaled
3 Bahlali, Seid
3 Gherbal, Boulakhras
3 Khelfallah, Nabil
3 Mbele Bidima, Martin Le Doux
3 Nguyen Huy Tuan
3 Rodkina, Alexandra
3 Trong, Dang Duc
2 Bender, Christian
2 Hata, Hiroaki
2 Hu, Mingshang
2 Huang, Jianhui
2 Ji, Shaolin
2 Jouini, Elyès
2 Labed, Boubakeur
2 Li, Ming
2 Li, Zhongfei
2 Lv, Siyu
2 Özekici, Süleyman
2 Qiu, Jinniao
2 Quan, Pham Hoang
2 Rapoo, Eeva Maria
2 Rásonyi, Miklós
2 Savkin, Andrey V.
2 Tang, Maoning
2 Tang, Shanjian
2 Tao, Ran
2 Wang, Guangchen
2 Wei, Wenning
2 Wu, Shuang
2 Xue, Xiaole
1 Aduda, Jane Akinyi
1 Atar, Rami
1 Aurell, Alexander
1 Baghery, Fouzia
1 Bálint, D. Á.
1 Baumann, Michael Heinrich
1 Bianchi, Daniele
1 Braverman, Elena
1 Brown, Garfield O.
1 Buckdahn, Rainer
1 Buckley, Winston S.
1 Budhiraja, Amarjit S.
1 Bulmuş, T.
1 Çanakoğlu, Ethem
1 Chen, Biao
1 Chen, Li
1 Cui, Xiangyu
1 Dong, Yuchao
1 Feldman, David
1 Gao, Jianjun
1 Gilding, Brian H.
1 Grüne, Lars
1 Guidolin, Massimo
1 Gusev, S. A.
1 Hao, Tao
1 Hinz, Juri
1 Igarashi, Toru
1 James, Matthew R.
1 Kampen, Jörg
1 Kelly, Cónall
1 Li, Duan
1 Li, Jia-Yue
1 Li, Xun
1 Lin, Ling
1 Ling, Aifan
1 Liu, Bin
1 Liu, Jijun
1 Mahmudov, Nazim Idrisoglu
1 Marshall, Mario
1 Matveev, Aleksei S.
1 McKibben, Mark Anthony
1 Pakshin, P. V.
1 Petersen, Ian Richard
1 Rainer, Catherine
1 Rong, Ximin
1 Schweizer, Martin
1 Shen, Yang
1 Sheng, Delei
1 Sheu, Shuenn-Jyi
1 Shi, Peng
1 Shu, Lan
1 Siu, Tak Kuen
1 Sun, Jie
1 Tamer, L.
1 Tan, Ken Seng
1 Tarnopolskaya, Tanya
1 Tevzadze, Revaz
1 Toronjadze, Teimuraz
1 Turpin, Isabelle
1 Ugrinovskii, Valery A.
1 Uzunashvili, Tamaz
1 Wang, Meihua
1 Wang, Shouyang
1 Wang, Yuchan
...and 17 more Authors
all top 5

Cited in 60 Serials

6 Systems & Control Letters
6 European Journal of Operational Research
5 Random Operators and Stochastic Equations
5 Stochastics
4 Discrete and Continuous Dynamical Systems
3 Journal of Mathematical Analysis and Applications
3 Applied Mathematics and Computation
3 Automatica
3 SIAM Journal on Control and Optimization
3 Insurance Mathematics & Economics
3 Annals of Operations Research
2 Theory of Probability and its Applications
2 Journal of Mathematical Economics
2 Journal of Optimization Theory and Applications
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 Automation and Remote Control
2 Journal of Mathematical Sciences (New York)
2 Mathematical Problems in Engineering
2 Mathematical Finance
2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
2 Journal of Systems Science and Complexity
2 International Journal of Stochastic Analysis
2 Asian Journal of Control
2 Afrika Matematika
1 Advances in Applied Probability
1 International Journal of Control
1 The Annals of Probability
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of Computational and Applied Mathematics
1 Journal of Functional Analysis
1 Theory and Decision
1 Optimal Control Applications & Methods
1 Chinese Annals of Mathematics. Series B
1 Stochastic Analysis and Applications
1 Acta Applicandae Mathematicae
1 Signal Processing
1 Japan Journal of Industrial and Applied Mathematics
1 Applied Mathematical Modelling
1 Stochastic Processes and their Applications
1 Applied Mathematics. Series B (English Edition)
1 Calculus of Variations and Partial Differential Equations
1 Journal of Inverse and Ill-Posed Problems
1 Applied Mathematical Finance
1 Journal of Nonparametric Statistics
1 Finance and Stochastics
1 European Journal of Control
1 Discrete Dynamics in Nature and Society
1 International Journal of Theoretical and Applied Finance
1 Journal of Evolution Equations
1 Discrete and Continuous Dynamical Systems. Series B
1 OR Spectrum
1 Journal of Applied Mathematics and Computing
1 Asia-Pacific Financial Markets
1 Advances in Difference Equations
1 Computational & Mathematical Methods in Medicine
1 Science China. Mathematics
1 Games
1 Dynamic Games and Applications
1 Annals of Finance
1 Probability, Uncertainty and Quantitative Risk

Citations by Year