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Pergamenshchikov, Sergey Markovich
Statistics Math-Net.Ru
Total publications: 27
Scientific articles: 26
Presentations: 1

Number of views:
This page:4108
Abstract pages:7864
Full texts:2781
References:550
Professor
Doctor of physico-mathematical sciences
E-mail:

https://www.mathnet.ru/eng/person18784
List of publications on Google Scholar
List of publications on ZentralBlatt
https://mathscinet.ams.org/mathscinet/MRAuthorID/220898

Publications in Math-Net.Ru Citations
2023
1. A. A. Murzintseva, S. M. Pergamenshchikov, E. A. Pchelintsev, “Hedging problem for the Asian call options with transaction costs”, Teor. Veroyatnost. i Primenen., 68:2 (2023),  253–276  mathnet; Theory Probab. Appl., 68:2 (2023), 211–230  scopus
2. N. I. Nikiforov, S. M. Pergamenshchikov, E. A. Pchelintsev, “Super-efficient robust estimation in Lévy continuous time regression models from discrete data”, Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2023, no. 85,  22–31  mathnet
2020
3. T. Nguyen, S. M. Pergamenshchikov, “Approximate hedging with constant proportional transaction costs in financial markets with jumps”, Teor. Veroyatnost. i Primenen., 65:2 (2020),  281–311  mathnet  elib; Theory Probab. Appl., 65:2 (2020), 224–248  isi  scopus 3
2019
4. E. A. Pchelintsev, S. M. Pergamenshchikov, “Improved model selection method for an adaptive estimation in semimartingale regression models”, Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2019, no. 58,  14–31  mathnet  isi  elib 3
2015
5. B. Berdjane, S. M. Pergamenshchikov, “Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters”, Teor. Veroyatnost. i Primenen., 60:4 (2015),  628–659  mathnet  mathscinet  elib; Theory Probab. Appl., 60:4 (2016), 533–560  isi  scopus 1
2013
6. V. V. Konev, S. M. Pergamenshchikov, E. A. Pchelintsev, “Estimation of the regression with a pulse noise by discrete time observations”, Teor. Veroyatnost. i Primenen., 58:3 (2013),  454–471  mathnet  mathscinet  elib; Theory Probab. Appl., 58:3 (2014), 442–457  isi  elib 15
2009
7. V. V. Konev, S. M. Pergamenshchikov, “Nonparametric estimation in a semimartingale regression model. Part 2. Robust asymptotic efficiency”, Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2009, no. 4(8),  31–45  mathnet 6
8. V. V. Konev, S. M. Pergamenshchikov, “Non-parametric estimation in a semimartingale regression model. Part 1. Oracle inequalities”, Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2009, no. 3(7),  23–41  mathnet 7
2008
9. O. Arkoun, S. M. Pergamenshchikov, “Nonparametric Estimation for an Autoregressive Model”, Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2008, no. 2(3),  20–30  mathnet 1
1997
10. V. V. Konev, S. M. Pergamenshchikov, “On the Guaranteed Parameter Estimation in Linear Regression Subject to Dependent Noise”, Avtomat. i Telemekh., 1997, no. 2,  75–87  mathnet  mathscinet  zmath; Autom. Remote Control, 58:2 (1997), 213–223
11. V. V. Konev, S. M. Pergamenshchikov, “Guaranteed Estimation of a Periodic Signal Distorted by an Autoregressive Noise with Unknown Parameters”, Probl. Peredachi Inf., 33:4 (1997),  26–44  mathnet  mathscinet  zmath; Problems Inform. Transmission, 33:4 (1997), 307–323
1996
12. V. V. Konev, S. M. Pergamenshchikov, “The prescribed precision estimators of the autoregression parameter using the generalized least square method”, Teor. Veroyatnost. i Primenen., 41:4 (1996),  765–784  mathnet  mathscinet  zmath; Theory Probab. Appl., 41:4 (1997), 678–694  isi 2
1995
13. V. V. Konev, S. M. Pergamenshchikov, “On the estimation of an autoregressive parameter on the basis of the generalized method of least squares”, Uspekhi Mat. Nauk, 50:6(306) (1995),  187–188  mathnet  mathscinet  zmath; Russian Math. Surveys, 50:6 (1995), 1276–1277  isi
14. Yu. M. Kabanov, S. M. Pergamenshchikov, “Large deviations for solutions of singularly perturbed stochastic differential equations”, Uspekhi Mat. Nauk, 50:5(305) (1995),  147–172  mathnet  mathscinet  zmath; Russian Math. Surveys, 50:5 (1995), 989–1013  isi 2
1994
15. S. M. Pergamenshchikov, “Asymptotic expansions for a model with distinguished “fast” and “slow” variables, described by a system of singularly perturbed stochastic differential equations”, Uspekhi Mat. Nauk, 49:4(298) (1994),  3–46  mathnet  mathscinet  zmath; Russian Math. Surveys, 49:4 (1994), 1–44  isi 2
1993
16. V. V. Konev, S. M. Pergamenshchikov, “Guaranteed estimation of autoregression parameters on the basis of a sequential correlational method”, Trudy Mat. Inst. Steklov., 202 (1993),  149–169  mathnet  mathscinet  zmath; Proc. Steklov Inst. Math., 202 (1994), 121–137
1992
17. V. V. Konev, S. M. Pergamenshchikov, “Sequential Parameter Estimation with Guaranteed Mean-Square Accuracy for Unstable Linear Stochastic Systems”, Probl. Peredachi Inf., 28:4 (1992),  35–48  mathnet  mathscinet  zmath; Problems Inform. Transmission, 28:4 (1992), 327–340 1
18. S. M. Pergamenshchikov, A. N. Shiryaev, “Sequential Estimation of the Parameter of a Stochastic Difference Equation with Random Coefficients”, Teor. Veroyatnost. i Primenen., 37:3 (1992),  482–501  mathnet  mathscinet  zmath; Theory Probab. Appl., 37:3 (1993), 449–470 3
1991
19. Yu. M. Kabanov, S. M. Pergamenshchikov, “Sets of accesibility for controlled stochastic differential equations”, Uspekhi Mat. Nauk, 46:1(277) (1991),  209–210  mathnet  mathscinet  zmath; Russian Math. Surveys, 46:1 (1991), 251–252  isi
20. S. M. Pergamenshchikov, “Asymptotic properties of a sequential plan for estimating a first-order autoregression parameter”, Teor. Veroyatnost. i Primenen., 36:1 (1991),  42–53  mathnet  mathscinet  zmath; Theory Probab. Appl., 36:1 (1991), 36–49  isi 8
1990
21. Yu. M. Kabanov, S. M. Pergamenshchikov, “Singularly perturbed stochastic equations and partial differential equations”, Dokl. Akad. Nauk SSSR, 311:5 (1990),  1039–1042  mathnet  mathscinet  zmath; Dokl. Math., 41:2 (1990), 328–331 2
22. Yu. M. Kabanov, S. M. Pergamenshchikov, “Singular perturbations of stochastic differential equations”, Mat. Sb., 181:9 (1990),  1170–1182  mathnet  mathscinet  zmath; Math. USSR-Sb., 71:1 (1992), 15–27  isi 5
1988
23. V. V. Konev, S. M. Pergamenshchikov, “On guaranteed parameter estimation for unstable dynamic systems”, Avtomat. i Telemekh., 1988, no. 11,  130–141  mathnet  mathscinet  zmath; Autom. Remote Control, 49:11 (1988), 1495–1504
1985
24. V. V. Konev, S. M. Pergamenshchikov, “On Sequential Estimation of Parameters of Diffusion Processes”, Probl. Peredachi Inf., 21:1 (1985),  48–61  mathnet  mathscinet  zmath; Problems Inform. Transmission, 21:1 (1985), 36–46
1984
25. V. V. Konev, S. M. Pergamenshchikov, “Asymptotic normality of sequential parameter estimation for dynamic systems”, Avtomat. i Telemekh., 1984, no. 12,  56–63  mathnet  mathscinet  zmath; Autom. Remote Control, 45:12 (1984), 1582–1588
1981
26. V. V. Konev, S. M. Pergamenshchikov, “Successive procedures of parameter identification in dynamic systems”, Avtomat. i Telemekh., 1981, no. 7,  84–92  mathnet  mathscinet  zmath; Autom. Remote Control, 42:7 (1981), 917–924 4
2015
27. I. A. Aleksandrov, V. V. Konev, S. A. Kopanev, È. N. Krivyakova, S. M. Pergamenshchikov, G. V. Sibiryakov, A. V. Starchenko, “In memory of Prof. G. G. Pestov: life and scientific-educational activity”, Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2015, no. 5(37),  103–114  mathnet  elib

Presentations in Math-Net.Ru
1. On the ruin probability for the general Sparre Andersen insurance model with investments
E. A. Pchelintsev, S. M. Pergamenshchikov
9th International Conference on Stochastic Methods
June 7, 2024 12:00   

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