Gushchin, Aleksandr Aleksandrovich

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 Author ID: gushchin.alexander-a Published as: Gushchin, A. A.; Gushchin, Alexander A.; Gushchin, Alexander; Gushchin, Aleksandr A.; Gushchin, A. more...less Further Spellings: Гущин Александр Александрович Homepage: https://www.hse.ru/en/org/persons/93131129 External Links: MGP · ORCID · Google Scholar · Math-Net.Ru
 Documents Indexed: 58 Publications since 1982, including 1 Book Reviewing Activity: 37 Reviews Co-Authors: 15 Co-Authors with 27 Joint Publications 287 Co-Co-Authors
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Co-Authors

 30 single-authored 6 Küchler, Uwe 5 Mishura, Yuliya Stepanivna 4 Valkeila, Esko 3 Urusov, Mikhail A. 2 Borzykh, Dmitriy A. 1 Ekushov, A. I. 1 Khasanov, Ruslan V. 1 Leshchenko, S. S. 1 Mordecki, Ernesto 1 Morozov, Ivan 1 Pavlyukevich, Ilya 1 Ritsch, Marian 1 Zervos, Mihail 1 Zhdanov, Denis A. 1 Zhunussova, Assylliya K.
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Serials

 8 Theory of Probability and its Applications 5 Russian Mathematical Surveys 4 Theory of Probability and Mathematical Statistics 3 Statistical Inference for Stochastic Processes 3 Modern Stochastics. Theory and Applications 2 Teoriya Veroyatnosteĭ i eë Primeneniya 2 Statistics & Decisions 2 Mathematical Methods of Statistics 2 Bernoulli 2 Proceedings of the Steklov Institute of Mathematics 1 Annales Academiae Scientiarum Fennicae. Series A I. Mathematica 1 Matematicheskiĭ Sbornik. Novaya Seriya 1 Soviet Mathematics. Doklady 1 Statistics & Probability Letters 1 Mathematics of the USSR, Sbornik 1 Stochastic Processes and their Applications 1 Teoriya Veroyatnosteĭ i Matematicheskaya Statistika 1 Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka 1 Doklady Mathematics
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Fields

 37 Probability theory and stochastic processes (60-XX) 27 Statistics (62-XX) 4 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Systems theory; control (93-XX) 2 Ordinary differential equations (34-XX) 2 Functional analysis (46-XX) 2 Information and communication theory, circuits (94-XX) 1 Real functions (26-XX) 1 Measure and integration (28-XX)

Citations contained in zbMATH Open

31 Publications have been cited 126 times in 102 Documents Cited by Year
On stationary solutions of delay differential equations driven by a Lévy process. Zbl 1045.60057
Gushchin, Alexander A.; Küchler, Uwe
2000
Asymptotic inference for a linear stochastic differential equation with time delay. Zbl 0983.62049
Gushchin, Alexander A.; Küchler, Uwe
1999
On the general theory of random fields on the plane. Zbl 0515.60053
Gushchin, A. A.
1982
Bounds on option prices for semimartingale market models. Zbl 1113.91319
Gushchin, A. A.; Mordecki, E.
2002
On an extension of the notion of $$f$$-divergence. Zbl 1206.94015
Gushchin, A. A.
2008
On the submartingale/supermartingale property of diffusions in natural scale. Zbl 1322.60161
Gushchin, Alexander; Urusov, Mikhail; Zervos, Mihail
2014
Integrated quantile functions: properties and applications. Zbl 1383.60019
Gushchin, Alexander A.; Borzykh, Dmitriy A.
2017
Stochastic calculus for quantitative finance. Zbl 1331.60001
Gushchin, Alexander A.
2015
Processes that can be embedded in a geometric Brownian motion. Zbl 1341.60101
Gushchin, A. A.; Urusov, M. A.
2016
Dual characterization of the value function in the robust utility maximization problem. Zbl 1238.91126
Gushchin, A. A.
2011
The joint law of terminal values of a nonnegative submartingale and its compensator. Zbl 1434.60125
Gushchin, A. A.
2018
Approximations and limit theorems for likelihood ratio processes in the binary case. Zbl 1044.62005
Gushchin, A. A.; Valkeila, E.
2003
Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails. Zbl 1465.62142
Gushchin, Alexander; Pavlyukevich, Ilya; Ritsch, Marian
2020
Single jump filtrations and local martingales. Zbl 1472.60076
Gushchin, Alexander A.
2020
On Fano lemma and analogous inequalities for minimax risk. Zbl 1051.62005
Gushchin, A. A.
2002
A characterization of maximin tests for two composite hypotheses. Zbl 1327.62087
Gushchin, A.
2015
On oscillations of the geometric Brownian motion with time-delayed drift. Zbl 1126.60048
Gushchin, Alexander A.; Küchler, Uwe
2004
The Davis inequalities and the Gundy decomposition for two-parameter strong martingales. I. Zbl 0749.60042
Gushchin, A. A.; Mishura, Yu. S.
1990
On asymptotic optimality of estimators of parameters under the LAQ condition. Zbl 0898.62031
Gushchin, A. A.
1995
On estimation of delay location. Zbl 1274.62562
Gushchin, Alexander A.; Küchler, Uwe
2011
Improvement and generalization of the Cramér-Rao inequality for a filtered space. Zbl 0728.62082
Gushchin, A. A.
1990
On pathwise counterparts of Doob’s maximal inequalities. Zbl 1325.60064
Gushchin, A. A.
2014
On recovery of a measure from its symmetrization. Zbl 1089.28003
Gushchin, A. A.; Küchler, U.
2004
A characterization of a minimax test in the problem of testing two composite hypotheses. Zbl 1362.62017
Gushchin, A. A.
2013
Quadratic approximation for log-likelihood ratio processes. Zbl 1383.62043
Gushchin, Alexander; Valkeila, Esko
2017
Minimal embeddings of integrable processes in a Brownian motion. Zbl 1441.60063
Gushchin, A. A.; Urusov, M. A.
2019
Translation invariant statistical experiments with independent increments. Zbl 1403.62012
Gushchin, Alexander; Kordzakhia, Nino; Novikov, Alexander
2018
The Davis inequalities and the Gundy decomposition for two-parameter strong martingales. III. Zbl 0788.60066
Gushchin, A. A.; Mishura, Yu. S.
1991
On taking limits under the compensator sign. Zbl 0870.60042
Gushchin, A. A.
1996
Addendum to “Asymptotic inference for a linear stochastic differential equation with time delay”. Zbl 1008.62080
Gushchin, Alexander A.; Küchler, Uwe
2001
The joint law of a max-continuous local submartingale and its maximum. Zbl 1469.60128
Gushchin, A. A.
2021
The joint law of a max-continuous local submartingale and its maximum. Zbl 1469.60128
Gushchin, A. A.
2021
Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails. Zbl 1465.62142
Gushchin, Alexander; Pavlyukevich, Ilya; Ritsch, Marian
2020
Single jump filtrations and local martingales. Zbl 1472.60076
Gushchin, Alexander A.
2020
Minimal embeddings of integrable processes in a Brownian motion. Zbl 1441.60063
Gushchin, A. A.; Urusov, M. A.
2019
The joint law of terminal values of a nonnegative submartingale and its compensator. Zbl 1434.60125
Gushchin, A. A.
2018
Translation invariant statistical experiments with independent increments. Zbl 1403.62012
Gushchin, Alexander; Kordzakhia, Nino; Novikov, Alexander
2018
Integrated quantile functions: properties and applications. Zbl 1383.60019
Gushchin, Alexander A.; Borzykh, Dmitriy A.
2017
Quadratic approximation for log-likelihood ratio processes. Zbl 1383.62043
Gushchin, Alexander; Valkeila, Esko
2017
Processes that can be embedded in a geometric Brownian motion. Zbl 1341.60101
Gushchin, A. A.; Urusov, M. A.
2016
Stochastic calculus for quantitative finance. Zbl 1331.60001
Gushchin, Alexander A.
2015
A characterization of maximin tests for two composite hypotheses. Zbl 1327.62087
Gushchin, A.
2015
On the submartingale/supermartingale property of diffusions in natural scale. Zbl 1322.60161
Gushchin, Alexander; Urusov, Mikhail; Zervos, Mihail
2014
On pathwise counterparts of Doob’s maximal inequalities. Zbl 1325.60064
Gushchin, A. A.
2014
A characterization of a minimax test in the problem of testing two composite hypotheses. Zbl 1362.62017
Gushchin, A. A.
2013
Dual characterization of the value function in the robust utility maximization problem. Zbl 1238.91126
Gushchin, A. A.
2011
On estimation of delay location. Zbl 1274.62562
Gushchin, Alexander A.; Küchler, Uwe
2011
On an extension of the notion of $$f$$-divergence. Zbl 1206.94015
Gushchin, A. A.
2008
On oscillations of the geometric Brownian motion with time-delayed drift. Zbl 1126.60048
Gushchin, Alexander A.; Küchler, Uwe
2004
On recovery of a measure from its symmetrization. Zbl 1089.28003
Gushchin, A. A.; Küchler, U.
2004
Approximations and limit theorems for likelihood ratio processes in the binary case. Zbl 1044.62005
Gushchin, A. A.; Valkeila, E.
2003
Bounds on option prices for semimartingale market models. Zbl 1113.91319
Gushchin, A. A.; Mordecki, E.
2002
On Fano lemma and analogous inequalities for minimax risk. Zbl 1051.62005
Gushchin, A. A.
2002
Addendum to “Asymptotic inference for a linear stochastic differential equation with time delay”. Zbl 1008.62080
Gushchin, Alexander A.; Küchler, Uwe
2001
On stationary solutions of delay differential equations driven by a Lévy process. Zbl 1045.60057
Gushchin, Alexander A.; Küchler, Uwe
2000
Asymptotic inference for a linear stochastic differential equation with time delay. Zbl 0983.62049
Gushchin, Alexander A.; Küchler, Uwe
1999
On taking limits under the compensator sign. Zbl 0870.60042
Gushchin, A. A.
1996
On asymptotic optimality of estimators of parameters under the LAQ condition. Zbl 0898.62031
Gushchin, A. A.
1995
The Davis inequalities and the Gundy decomposition for two-parameter strong martingales. III. Zbl 0788.60066
Gushchin, A. A.; Mishura, Yu. S.
1991
The Davis inequalities and the Gundy decomposition for two-parameter strong martingales. I. Zbl 0749.60042
Gushchin, A. A.; Mishura, Yu. S.
1990
Improvement and generalization of the Cramér-Rao inequality for a filtered space. Zbl 0728.62082
Gushchin, A. A.
1990
On the general theory of random fields on the plane. Zbl 0515.60053
Gushchin, A. A.
1982
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Cited by 128 Authors

 14 Gushchin, Aleksandr Aleksandrovich 7 Küchler, Uwe 5 Nielsen, Mikkel Slot 4 Pap, Gyula 4 Rohde, Victor Ulrich 4 Rüschendorf, Ludger 3 Appleby, John A. D. 3 Benke, János Marcell 3 Bergenthum, Jan 3 Kutoyants, Yury A. 3 Merzbach, Ely 3 Reiß, Markus 3 Urusov, Mikhail A. 3 Vasil’iev, Vyacheslav A. 3 Yuan, Chenggui 2 Basse-O’Connor, Andreas 2 Borzykh, Dmitriy A. 2 del Barrio, Eustasio 2 Farvazova, Aĭsylu Azatovna 2 Fasen, Vicky 2 Hallin, Marc 2 Ivanoff, B. Gail 2 Kolodii, N. A. 2 Mao, Xuerong 2 Prakasa Rao, B. L. S. 2 Riedle, Markus 2 Sorensen, Michael 2 Wang, Lihong 1 Adibi, M. A. 1 Ankirchner, Stefan 1 Atay, Fatihcan M. 1 Barczy, Mátyás 1 Bayraktar, Erhan 1 Beek, Peter J. 1 Beirlant, Jan 1 Bellini, Fabio 1 Belomestny, Denis 1 Ben-Tal, Aharon 1 Bo, Lijun 1 Branger, Nicole 1 Buitendag, Sven 1 Burke, Murray D. 1 Courgeau, Valentin 1 Cuchiero, Christa 1 Cuesta-Albertos, Juan Antonio 1 Dębicki, Krzysztof 1 Dehay, Dominique 1 den Hertog, Dick 1 Dozzi, Marco E. 1 El Waled, Khalil 1 Feng, Dandong 1 Foschi, Paolo 1 Frangos, Nikos E. 1 Frank, Till Daniel 1 Gamboa, Fabrice 1 Gapeev, Pavel V. 1 Gerchinovitz, Sébastien 1 Gray, Alison J. 1 Greenhalgh, David 1 Gugushvili, Shota 1 Hashorva, Enkelejd 1 Hin, Lin-Yee 1 Högele, Michael Anton 1 Hutt, Axel 1 Imkeller, Peter 1 Ivanov, Roman V. 1 Jacod, Jean 1 Jacquier, Antoine 1 Janssen, Arnold 1 Kamper, Francois 1 Keller-Ressel, Martin 1 Keller, Merlin 1 Köpfer, Benedikt 1 Kordzakhia, Nino E. 1 Krol, Katja 1 Kruse, Thomas 1 Leshchenko, S. S. 1 Liu, Kai 1 Lu, Kevin W. 1 Ly, Sel 1 Mahayni, Antje 1 Matrán, Carlos 1 Ménard, Pierre 1 Michta, Mariusz 1 Mishura, Yuliya Stepanivna 1 Monsan, Vincent 1 Nabavi, S. M. 1 Nadjafi, B. Afshar 1 Nakano, Fumihiko 1 Novikov, Aleksandr Aleksandrovich 1 Nualart, David 1 Øksendal, Bernt Karsten 1 Pan, Jiafeng 1 Pascucci, Andrea 1 Pavlyukevich, Ilya 1 Pellerey, Franco 1 Privault, Nicolas 1 Qiao, Huijie 1 Rojtgarts, A. D. 1 Saada, Diane ...and 28 more Authors
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Cited in 60 Serials

 8 Stochastic Processes and their Applications 8 Statistical Inference for Stochastic Processes 6 Bernoulli 5 Journal of Statistical Planning and Inference 4 Journal of Mathematical Analysis and Applications 4 Theory of Probability and its Applications 4 Modern Stochastics. Theory and Applications 3 Journal of Applied Probability 3 Finance and Stochastics 2 Moscow University Mathematics Bulletin 2 Ukrainian Mathematical Journal 2 Statistics & Probability Letters 2 Journal of Theoretical Probability 2 Mathematical Methods of Statistics 1 Advances in Applied Probability 1 Israel Journal of Mathematics 1 Journal d’Analyse Mathématique 1 Mathematical Notes 1 Physics Letters. A 1 Russian Mathematical Surveys 1 Chaos, Solitons and Fractals 1 Annals of the Institute of Statistical Mathematics 1 The Annals of Probability 1 The Annals of Statistics 1 Applied Mathematics and Optimization 1 Automatica 1 Osaka Journal of Mathematics 1 Siberian Mathematical Journal 1 Systems & Control Letters 1 Insurance Mathematics & Economics 1 Stochastic Analysis and Applications 1 Statistics 1 Probability Theory and Related Fields 1 Sequential Analysis 1 Statistical Science 1 Journal of Economic Dynamics & Control 1 Communications in Statistics. Simulation and Computation 1 European Journal of Operational Research 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Mathematical Programming. Series A. Series B 1 Journal of Dynamics and Differential Equations 1 SIAM Journal on Optimization 1 Potential Analysis 1 Theory of Probability and Mathematical Statistics 1 Statistical Papers 1 Journal of Mathematical Sciences (New York) 1 Random Operators and Stochastic Equations 1 Doklady Mathematics 1 Nonlinear Dynamics 1 Mathematical Methods of Operations Research 1 Chaos 1 Decisions in Economics and Finance 1 Stochastic Models 1 Stochastics and Dynamics 1 International Journal of Wavelets, Multiresolution and Information Processing 1 Stochastics 1 Advances in Data Analysis and Classification. ADAC 1 SIAM Journal on Financial Mathematics 1 International Journal of Differential Equations 1 Frontiers of Mathematical Finance
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Cited in 18 Fields

 79 Probability theory and stochastic processes (60-XX) 40 Statistics (62-XX) 15 Ordinary differential equations (34-XX) 15 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 7 Systems theory; control (93-XX) 4 Functional analysis (46-XX) 4 Numerical analysis (65-XX) 2 Integral equations (45-XX) 2 Operations research, mathematical programming (90-XX) 2 Biology and other natural sciences (92-XX) 1 Real functions (26-XX) 1 Measure and integration (28-XX) 1 Partial differential equations (35-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Convex and discrete geometry (52-XX) 1 Information and communication theory, circuits (94-XX)