Alexander Veretennikov
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First Name: | Alexander |
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Last Name: | Veretennikov |
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RePEc Short-ID: | pve330 |
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Affiliation
(50%) International Laboratory of Stochastic Analysis
National Research University Higher School of Economics (HSE)
Moscow, Russiahttp://lsa.hse.ru/
RePEc:edi:sahseru (more details at EDIRC)
(50%) University of Leeds, Department of Statistics
http://www.maths.leeds.ac.uk/home.htmlUK, Leeds
Research output
Jump to: ArticlesArticles
- Butkovsky, O.A. & Veretennikov, A.Yu., 2013. "On asymptotics for Vaserstein coupling of Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 123(9), pages 3518-3541.
- Veretennikov, A. Yu., 2000. "On large deviations for SDEs with small diffusion and averaging," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 69-79, September.
- A. Veretennikov, 1999. "On Castellana–Leadbetter's Condition for Diffusion Density Estimation," Statistical Inference for Stochastic Processes, Springer, vol. 2(1), pages 1-9, January.
- Veretennikov, A. Yu., 1997. "On polynomial mixing bounds for stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 70(1), pages 115-127, October.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Articles
- Veretennikov, A. Yu., 2000.
"On large deviations for SDEs with small diffusion and averaging,"
Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 69-79, September.
Cited by:
- Kumar, Rohini & Popovic, Lea, 2017. "Large deviations for multi-scale jump-diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 127(4), pages 1297-1320.
- Dupuis, Paul & Spiliopoulos, Konstantinos, 2012. "Large deviations for multiscale diffusion via weak convergence methods," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1947-1987.
- Bezemek, Z.W. & Spiliopoulos, K., 2023. "Large deviations for interacting multiscale particle systems," Stochastic Processes and their Applications, Elsevier, vol. 155(C), pages 27-108.
- A. Veretennikov, 1999.
"On Castellana–Leadbetter's Condition for Diffusion Density Estimation,"
Statistical Inference for Stochastic Processes, Springer, vol. 2(1), pages 1-9, January.
Cited by:
- Comte, F. & Merlevède, F., 2005. "Super optimal rates for nonparametric density estimation via projection estimators," Stochastic Processes and their Applications, Elsevier, vol. 115(5), pages 797-826, May.
- Veretennikov, A. Yu., 1997.
"On polynomial mixing bounds for stochastic differential equations,"
Stochastic Processes and their Applications, Elsevier, vol. 70(1), pages 115-127, October.
Cited by:
- Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2008.
"Nonlinearity and Temporal Dependence,"
Working Papers
48, Yale University, Department of Economics.
- Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2010. "Nonlinearity and temporal dependence," Journal of Econometrics, Elsevier, vol. 155(2), pages 155-169, April.
- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652R, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009. "Nonlinearity and Temporal Dependence," CIRANO Working Papers 2009s-17, CIRANO.
- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2008. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652, Cowles Foundation for Research in Economics, Yale University.
- Guo, Junyu & Guo, Xiaotian & Xie, Longjie, 2021. "Quantitative stability estimates for multiscale stochastic dynamical systems," Statistics & Probability Letters, Elsevier, vol. 178(C).
- Kanaya, Shin, 2016.
"Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes,"
Discussion Paper Series
646, Institute of Economic Research, Hitotsubashi University.
- Shin Kanaya, 2016. "Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," KIER Working Papers 947, Kyoto University, Institute of Economic Research.
- Shin Kanaya, 2016. "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers 2016-24, Department of Economics and Business Economics, Aarhus University.
- Kanaya, Shin, 2017. "Convergence Rates Of Sums Of Α-Mixing Triangular Arrays: With An Application To Nonparametric Drift Function Estimation Of Continuous-Time Processes," Econometric Theory, Cambridge University Press, vol. 33(5), pages 1121-1153, October.
- Masayuki Uchida & Nakahiro Yoshida, 2001. "Information Criteria in Model Selection for Mixing Processes," Statistical Inference for Stochastic Processes, Springer, vol. 4(1), pages 73-98, January.
- Shin Kanaya, 2015.
"Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach,"
CREATES Research Papers
2015-50, Department of Economics and Business Economics, Aarhus University.
- Kanaya, Shin, 2017. "Uniform Convergence Rates Of Kernel-Based Nonparametric Estimators For Continuous Time Diffusion Processes: A Damping Function Approach," Econometric Theory, Cambridge University Press, vol. 33(4), pages 874-914, August.
- Justin Sirignano & Konstantinos Spiliopoulos, 2017. "Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem," Papers 1710.04273, arXiv.org, revised Jun 2019.
- Anatolii A. Puhalskii, 2003. "On Large Deviation Convergence of Invariant Measures," Journal of Theoretical Probability, Springer, vol. 16(3), pages 689-724, July.
- Song, Yan-Hong, 2016. "Algebraic ergodicity for SDEs driven by Lévy processes," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 108-115.
- Douc, Randal & Fort, Gersende & Guillin, Arnaud, 2009. "Subgeometric rates of convergence of f-ergodic strong Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 897-923, March.
- Yuji Sakamoto & Nakahiro Yoshida, 2009. "Third-order asymptotic expansion of M-estimators for diffusion processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(3), pages 629-661, September.
- A. Veretennikov, 1999. "On Castellana–Leadbetter's Condition for Diffusion Density Estimation," Statistical Inference for Stochastic Processes, Springer, vol. 2(1), pages 1-9, January.
- Mattingly, J. C. & Stuart, A. M. & Higham, D. J., 2002. "Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise," Stochastic Processes and their Applications, Elsevier, vol. 101(2), pages 185-232, October.
- Palczewski, Jan & Stettner, Łukasz, 2014. "Infinite horizon stopping problems with (nearly) total reward criteria," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 3887-3920.
- Dennis Kristensen, 2004.
"Estimation in Two Classes of Semiparametric Diffusion Models,"
FMG Discussion Papers
dp500, Financial Markets Group.
- Kristensen, Dennis, 2004. "Estimation in two classes of semiparametric diffusion models," LSE Research Online Documents on Economics 24739, London School of Economics and Political Science, LSE Library.
- Guillin, A. & Liptser, R., 2005. "MDP for integral functionals of fast and slow processes with averaging," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1187-1207, July.
- Cayé, Thomas & Herdegen, Martin & Muhle-Karbe, Johannes, 2020. "Scaling limits of processes with fast nonlinear mean reversion," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1994-2031.
- Anatolii A. Puhalskii & Michael Jay Stutzer, 2016. "On minimising a portfolio's shortfall probability," Papers 1602.02192, arXiv.org, revised May 2017.
- Alexander Veretennikov, 2023. "Polynomial Recurrence for SDEs with a Gradient-Type Drift, Revisited," Mathematics, MDPI, vol. 11(14), pages 1-16, July.
- Xie, Longjie & Yang, Li, 2022. "The Smoluchowski–Kramers limits of stochastic differential equations with irregular coefficients," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 91-115.
- Comte, F. & Merlevède, F., 2005. "Super optimal rates for nonparametric density estimation via projection estimators," Stochastic Processes and their Applications, Elsevier, vol. 115(5), pages 797-826, May.
- Nakahiro Yoshida, 2011. "Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(3), pages 431-479, June.
- Sangyeol Lee & Hiroki Masuda, 2010. "Jarque–Bera normality test for the driving Lévy process of a discretely observed univariate SDE," Statistical Inference for Stochastic Processes, Springer, vol. 13(2), pages 147-161, June.
- Gailus, Siragan & Spiliopoulos, Konstantinos, 2017. "Statistical inference for perturbed multiscale dynamical systems," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 419-448.
- Lukas Gonon & Johannes Muhle-Karbe & Xiaofei Shi, 2019. "Asset Pricing with General Transaction Costs: Theory and Numerics," Papers 1905.05027, arXiv.org, revised Apr 2020.
- Bal'azs Gerencs'er & Mikl'os R'asonyi, 2020. "Invariant measures for multidimensional fractional stochastic volatility models," Papers 2002.04832, arXiv.org, revised Aug 2021.
- Charlotte Dion & Sarah Lemler, 2020. "Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 489-515, October.
- Lukas Gonon & Johannes Muhle‐Karbe & Xiaofei Shi, 2021. "Asset pricing with general transaction costs: Theory and numerics," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 595-648, April.
- Campillo, Fabien & Kleptsyna, Marina & Piatnitski, Andrey, 2001. "Homogenization of random parabolic operator with large potential," Stochastic Processes and their Applications, Elsevier, vol. 93(1), pages 57-85, May.
- Shoichi Eguchi & Hiroki Masuda, 2019. "Data driven time scale in Gaussian quasi-likelihood inference," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 383-430, October.
- Kulik, Alexei & Pavlyukevich, Ilya, 2021. "Moment bounds for dissipative semimartingales with heavy jumps," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 274-308.
- Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2008.
"Nonlinearity and Temporal Dependence,"
Working Papers
48, Yale University, Department of Economics.
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