Persons: Novikov, Aleksandr Aleksandrovich

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Novikov, Aleksandr Aleksandrovich

Total publications:	95 (81)
in MathSciNet:	76 (75)
in zbMATH:	59 (58)
in Web of Science:	41 (37)
in Scopus:	39 (38)
Cited articles:	58
Citations:	860
Presentations:	6

Number of views:
This page:	5510
Abstract pages:	17532
Full texts:	6662
References:	813

Professor

Doctor of physico-mathematical sciences (1982)

Speciality:

01.01.05 (Probability theory and mathematical statistics)

E-mail:

Keywords:

Martingales, Option Pricing, Optimal Stopping, Boundary Crossings

UDC:

519.2, 519.53, 519.24, 519.214, 519.21

Subject:

Probability Theory, Stochastic Processes, Stochastic Analysis, Financial Mathematics, Statistics

Main publications:

1. Novikov, A., Kordzakhia, N. "Pitman Estimators: An Asymptotic Variance Revisited" Theory of Probability and its Applications 2013.
2. Novikov, A., Kordzakhia, N., Ling, T.;:" Pricing of Volume-Weighted Average Options. " Inspired by Finance" Springer, 2013

https://www.mathnet.ru/eng/person23348

List of publications on Google Scholar

https://zbmath.org/authors/?q=ai:novikov.alexander-a

https://mathscinet.ams.org/mathscinet/MRAuthorID/600851

https://elibrary.ru/author_items.asp?authorid=5332

Full list of publications:

scientific publications

by years

by types

by times cited

common list

		Citations (Crossref Cited-By Service + Math-Net.Ru)

1.	A. A. Novikov, “On an identity for stochastic integrals”, Theory Probab. Appl., 17:4 (1973), 717–720
2.	A. Novikov, V. Frishling, N. Kordzakhia, “Approximations of boundary crossing probabilities for a Brownian motion”, J. Appl. Probab., 36:4 (1999), 1019–1030	56 ^[x]
3.	A. A. Novikov, “On discontinuous martingales”, Theory Probab. Appl., 20:1 (1975), 11–26
4.	A. A. Novikov, A. N. Shiryaev, “On an effective solution of the optimal stopping problem for random walks”, Theory Probab. Appl., 49:2 (2005), 344–354
5.	A. Novikov, E. Valkeila, “On some maximal inequalities for fractional Brownian motions”, Statist. Probab. Lett., 44:1 (1999), 47–54	37 ^[x]
6.	A. A. Novikov, “Martingales and first passage times for Ornstein–Uhlenbeck processes with a jump component”, Theory Probab. Appl., 48:2 (2004), 288–303
7.	A. Novikov, A. Shiryaev, “On solution of the optimal stopping problem for processes with independent increments”, Stochastics, 79:3-4 (2007), 393–406	32 ^[x]
8.	A. A. Novikov, “On estimates and the asymptotic behavior of nonexit probabilities of a Wiener process to a moving boundary”, Math. USSR-Sb., 38:4 (1981), 495–505
9.	K. Borovkov, A. Novikov, “Explicit bounds for approximation rates of boundary crossing probabilities for the Wiener process”, J. Appl. Probab., 42:1 (2005), 82–92	26 ^[x]
10.	A. A. Novikov, “Martingales, Tauberian theorem, and strategies of gambling”, Theory Probab. Appl., 41:4 (1997), 716–729
11.	K. Borovkov, A. Novikov, “On a new approach to calculating expectations for option pricing”, J. Appl. Probab., 39:4 (2002), 889–895	24 ^[x]
12.	Konstantin Borovkov, Yuliya Mishura, Alexander Novikov, Mikhail Zhitlukhin, “Bounds for expected maxima of Gaussian processes and their discrete approximations”, Stochastics, 89:1 (2017), 21–37	23 ^[x]
13.	A. A. Novikov, “On the first exit time of an autoregressive process beyond a level and an application to the “change-point” problem”, Theory Probab. Appl., 35:2 (1990), 269–279
14.	A. A. Novikov, “On moment inequalities for stochastic integrals”, Theory Probab. Appl., 16:3 (1971), 538–541
15.	A. A. Novikov, “On stopping times for the Wiener process”, Theory Probab. Appl., 16:3 (1971), 449–456
16.	A. Novikov, N. Kordzakhia, “Martingales and first passage times of AR(1) sequences”, Stochastics, 80:2-3 (2008), 197–210	21 ^[x]
17.	A. Novikov, V. Frishling, N. Kordzakhia, “Time-dependent barrier options and boundary crossing probabilities”, Dedicated to the memory of Professor Revaz Chitashvili, Georgian Math. J., 10:2 (2003), 325–334	18 ^[x]
18.	A. A. Novikov, “Sequential estimation of the parameters of diffusion processes”, Math. Notes, 12:5 (1972), 812–818
19.	J. Hinz, A. Novikov, “On fair pricing of emission-related derivatives”, Bernoulli, 16:4 (2010), 1240–1261	17 ^[x]
20.	K. Borovkov, A. Novikov, “On exit times of Levy-driven Ornstein-Uhlenbeck processes”, Statist. Probab. Lett., 78:12 (2008), 1517–1525	16 ^[x]
21.	Theory Probab. Appl., 31:2 (1987), 221–232
22.	A. A. Novikov, “On the moment of crossing the one-sided nonlinear boundary by sums of independent random variables”, Theory Probab. Appl., 27:4 (1983), 688–702
23.	U. Çetin, A. Novikov, A. N. Shiryaev, “Bayesian sequential estimation of a drift of fractional Brownian motion”, Sequential Anal., 32:3 (2013), 288–296	15 ^[x]
24.	T. Schmidt, A. Novikov, “A structural model with unobserved default boundary”, Appl. Math. Finance, 15:1-2 (2008), 183–203	15 ^[x]
25.	V. P. Dragalin, A. A. Novikov, “The Asymptotic Solution of the Kiefer–Weiss Problem for Processes with Independent Increments”, Theory Probab. Appl., 32:4 (1987), 617–627
26.	A. A. Novikov, “On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences”, Theory Probab. Appl., 53:3 (2009), 419–429
27.	A. N. Shiryaev, A. A. Novikov, “On a stochastic version of the trading rule “buy and hold””, Statist. Decisions, 26:4 (2008), 289–302	14 ^[x]
28.	A. A. Novikov, “On the conditions of the uniform integrability of the continuous nonnegative martingales”, Theory Probab. Appl., 24:4 (1980), 820–824
29.	A. A. Novikov, “Hedging of options with a given probability”, Theory Probab. Appl., 43:1 (1999), 135–143
30.	S. Christensen, A. Irle, A. Novikov, “An elementary approach to optimal stopping problems for $\mathrm{AR}(1)$ sequences”, Sequential Anal., 30:1 (2011), 79–93	12 ^[x]
31.	K. Borovkov, A. Novikov, “On a piece-wise deterministic Markov process model”, Statist. Probab. Lett., 53:4 (2001), 421–428	10 ^[x]
32.	Konstantin Borovkov, Yuliya Mishura, Alexander Novikov, Mikhail Zhitlukhin, “New and refined bounds for expected maxima of fractional Brownian motion”, Statist. Probab. Lett., 137 (2018), 142–147	9 ^[x]
33.	A. A. Novikov, N. E. Kordzahia, “Lower and upper bounds for prices of Asian-type options”, Proc. Steklov Inst. Math., 287:1 (2014), 225–231
34.	A. A. Novikov, N. E. Kordzahiya, T. Ling, “On moments of Pitman estimators: the case of fractional Brownian motion”, Theory Probab. Appl., 58:4 (2014), 601–614
35.	A. A. Novikov, “Small deviations of Gaussian process”, Math. Notes, 29:2 (1981), 150–155
36.	A. A. Novikov, “The martingale approach in problems on the time of the first crossing of nonlinear boundaries”, Proc. Steklov Inst. Math., 158 (1983), 141–163
37.	A. Le Breton, A. Novikov, “Some results about averaging in stochastic approximation”, Second International Conference on Mathematical Statistics (Smolenice Castle, 1994), Metrika, 42, no. 3-4, 1995, 153–171	7 ^[x]
38.	A. V. Melnikov, A. A. Novikov, “Sequential Inferences with Prescribed Accuracy for Semimartingales”, Theory Probab. Appl., 33:3 (1988), 446–459
39.	L. I. Galtchouk, A. A. Novikov, “On Wald's equation. Discrete time case”, Séminaire de Probabilités, XXXI, Lecture Notes in Math., 1655, Springer, Berlin, 1997, 126–135	6 ^[x]
40.	A. A. Novikov, N. E. Kordzakhia, “Pitman estimators: an asymptotic variance revisited”, Theory Probab. Appl., 57:3 (2013), 521–529
41.	A. A. Novikov, “A martingale approach to first passage problems and a new condition for Wald's identity”, Stochastic differential systems (Visegrád, 1980), Lecture Notes in Control and Information Sci., 36, Springer, Berlin, 1981, 146–156	5 ^[x]
42.	A. A. Novikov, “On moment inequalities and identities for stochastic integrals”, Proceedings of the Second Japan-USSR Symposium on Probability Theory (Kyoto, 1972), Lecture Notes in Math., 330, Springer, Berlin, 1973, 333–339	4 ^[x]
43.	Nino E. Kordzakhia, Yury A. Kutoyants, Alexander A. Novikov, Lin-Yee Hin, “On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion”, Statist. Probab. Lett., 139 (2018), 141–151	3 ^[x]
44.	Nino Kordzakhia, Alexander Novikov, Bernard Ycart, “Approximations for weighted Kolmogorov–Smirnov distributions via boundary crossing probabilities”, Stat. Comput., 27 (2017), 1513 , 1523 pp.	3 ^[x]
45.	A. A. Novikov, S. Alexander, N. E. Kordzahiya, T. Ling, “Pricing of asian-type and basket options via bounds”, Theory Probab. Appl., 61:1 (2017), 94–106
46.	“Geometric Lévy Process Pricing Model”, Proc. Steklov Inst. Math., 237 (2002), 176–191
47.	A. A. Novikov, “On the exit time of sums of bounded random variables out of a curve strip”, Theory Probab. Appl., 26:2 (1982), 279–292
48.	A. A. Novikov, “On conditions for uniform integrability for continuous exponential martingales”, Stochastic differential systems, Proc. IFIP-WG 7/1 Working Conf. (Vilnius, 1978), Lecture Notes in Control and Information Sci., 25, Springer, Berlin, 1980, 304–310	3 ^[x]
49.	R. Liptser, A. Novikov, “Tail distributions of supremum and quadratic variation of local martingales”, From stochastic calculus to mathematical finance, Springer, Berlin, 2006, 421–432	2 ^[x]
50.	A. A. Novikov, B. A. Èrgashev, “Limit theorems for the first passage time of autoregression process over a level”, Proc. Steklov Inst. Math., 202 (1994), 169–186
51.	A. A. Novikov, “Martingale identities and inequalities and their applications in nonlinear boundary-value problems for random processes”, Math. Notes, 35:3 (1984), 241–249
52.	Alexander Gushchin, Nino Kordzakhia, Alexander Novikov, “Translation invariant statistical experiments with independent increments”, Stat. Inference Stoch. Process., 21:2 (2018), 363–383	1 ^[x]
53.	A. Novikov, A. N. Shiryaev, “Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci”, Sequential Anal., 33:2 (2014), 182–185	1 ^[x]
54.	A. Novikov, A. Shiryaev, “Remarks on moment inequalities and identities for martingales”, Statist. Probab. Lett., 83:4 (2013), 1260–1261	1 ^[x]
55.	K. A. Borovkov, A. N. Downes, A. A. Novikov, “Continuity theorems in boundary crossing problems for diffusion processes”, Contemporary quantitative finance, Springer, Berlin, 2010, 335–351	1 ^[x]
56.	A. A. Novikov, “Efficiency of selection procedures”, J. Soviet Math., 42, no. 1 (1988), 1475–1479
57.	A. A. Novikov, “On estimates and the asymptotic behavior of the probability of nonintersection of moving boundaries by sums of independent random variables”, Math. USSR-Izv., 17:1 (1981), 129–145
58.	A. A. Novikov, “On conditions for absolute continuity of probability measures”, Math. USSR-Sb., 35:5 (1979), 697–707
59.	G. Mititelu, Y. Areepong, S. Sukparungsee, A. Novikov, “Explicit analytical solutions for average run length of CUSUM and EWMA charts”, East-West J. Math., 2010, no. Special Vol., 253–265
60.	N. Kordzakhia, A. Novikov, “Pricing of defaultable securities under stochastic interest”, Mathematical control theory and finance, Springer, Berlin, 2008, 251–263
61.	Theory Probab. Appl., 44:3 (2000), 591–604
62.	A. A. Novikov, V. V. Novikov, “Sequential procedures for multihypotheses testing”, Probability theory and mathematical statistics (Tokyo, 1995), World Sci. Publ., River Edge, NJ, 1996, 363–378
63.	A. Le Breton, A. Novikov, “Some results about averaging in stochastic approximation”, ProbaStat '94 (Smolenice Castle, 1994), Tatra Mt. Math. Publ., 7, 1996, 255–260
64.	A. Le Breton, A. A. Novikov, “Averaging for estimating covariances in stochastic approximation”, Math. Methods Statist., 3:3 (1994), 244–266
65.	A. A. Novikov, A. N. Shiryaev, “Foreword”, Statistics and control of stochastic processes, Trudy Mat. Inst. Steklov., 202, TVP, Moscow, 1993, 3
66.	A. V. Mel'nikov, A. A. Novikov, “Statistical inferences for semimartingale regression models”, Probability theory and mathematical statistics (Vilnius, 1989), v. II, “Mokslas”, Vilnius, 1990, 150–167
67.	A. A. Novikov, “On a family of martingales connected with an autoregressive process”, Statistics and control of random processes (Preila, 1987), “Nauka”, Moscow, 1989, 160–169 (Russian)
68.	A. A. Novikov, V. P. Dragalin, “Asymptotic expansions for 2-SPRT”, Probability theory and mathematical statistics (Kyoto, 1986), Lecture Notes in Math., 1299, Springer, Berlin, 1988, 366–375
69.	V. I. Lotov, A. A. Novikov, “Asymptotic expansions in some problems of sequential testing”, Proceedings of the 1st World Congress of the Bernoulli Society (Tashkent, 1986), v. 2, VNU Sci. Press, Utrecht, 1987, 411–420
70.	A. A. Novikov, “Consistency of least squares estimates in regression models with martingale errors”, Statistics and control of stochastic processes (Moscow, 1984), Transl. Ser. Math. Engrg., Optimization Software, New York, 1985, 389–409
71.	A. A. Novikov, “Recursive interpolation of partially observable random fields”, Mathematical statistics, Banach Center Publ., 6, PWN, Warsaw, 1980, 245–247
72.	A. A. Novikov, “On stopping times of semistable diffusion processes”, Probability theory, Papers, VIIth Semester, Stefan Banach Internat. Math. Center, Warsaw, 1976, Banach Center Publ., 5, PWN, Warsaw, 1979, 203–209
73.	A. A. Novikov, “Optimal interpolation of partially observed two-dimensional random fields”, Probability theory, Papers, VIIth Semester, Stefan Banach Internat. Math. Center, Warsaw, 1976, Banach Center Publ., 5, PWN, Warsaw, 1979, 211–220
74.	A. A. Novikov, “Recurrent interpolation of partially observed random fields with discrete parameter”, Theory Probab. Appl., 23:2 (1979), 390–395
75.	A. A. Novikov, “Martingale inequalities”, Proceedings of the School and Seminar on the Theory of Random Processes (Druskininkai, 1974), Part II, Inst. Fiz. i Mat. Akad. Nauk Litovsk. SSR, Vilnius, 1975, 89–126
76.	A. A. Novikov, “Inequalities and identities for a certain class of martingales”, Papers presented at the Fifth Balkan Mathematical Congress (Belgrade, 1974), Math. Balkanica, 4, 1974, 465–467
77.	A. A. Novikov, “Estimation of the parameters of diffusion processes”, Studia Sci. Math. Hungar., 7 (1972), 201–209 (Russian)
78.	A. A. Novikov, A. N. Shiryaev, N. E. Kordzahiya, “On parameter estimation of diffusion processes: sequential and fixed sample size estimation revisited”, Teoriya veroyatn. i ee primen. (to appear)
79.	A. A. Novikov, A. N. Shiryaev, N. E. Kordzahiya, Teor. Veroyatnost. i Primenen., 69:4 (to appear)
80.	N. E. Kordzakhia, A. A. Novikov, A. N. Shiryaev, “Kolmogorov's inequality for the maximum of the sum of random variables and its martingale analogues”, Theory Probab. Appl., 68:3 (2023), 457–472
81.	N. E. Kordzakhia, A. A. Novikov, “On maximal inequalities for Ornstein–Uhlenbeck processes with jumps”, Teoriya veroyatn. i ee primen., 66:4 (2021), 895–913 ;
82.	A. A. Novikov, “Letter to the Editor”, Theory Probab. Appl., 18:3 (1974), 642
83.	A. N. Shiryaev, A. A. Novikov, E. L. Presman, “First World Congress of Bernoulli Society for Mathematical Statistics and Probability”, Theory Probab. Appl., 32:2 (1987), 199–200
84.	R. Liptser, A. Novikov, A. G. Tartakovsky, “Celebrating Albert Shiryaev's 75th anniversary”, Sequential Anal., 29:2 (2010), 107–111
85.	A. A. Novikov, T. L. Shervashidze, “The Twenty-First School-Colloquium on Probability Theory and Mathematical Statistics”, Theory Probab. Appl., 33:1 (1988), 197–198
86.	T. L. Shervashidze, A. A. Novikov, “XX Winter School on Probability Theory and Mathematical Statistics”, Theory Probab. Appl., 32:4 (1987), 751
87.	A. N. Shiryaev, A. A. Novikov, E. L. Presman, “First World Congress of Bernoulli Society for Mathematical Statistics and Probability (continuation)”, Theory Probab. Appl., 32:2 (1987), 384–385
88.	A. E. Bashirov, A. A. Novikov, “Information on the International conference «Stochastic differential systems»”, Theory Probab. Appl., 30:1 (1986), 223
89.	A. A. Novikov, T. L. Shervashidze, “XVIII Winter School on Probability Theory and Mathematical Statistics”, Theory Probab. Appl., 29:3 (1985), 640–643
90.	A. A. Novikov, A. N. Širyaev, “IV Soviet-Japanese symposium on probability theory and mathematical statistics”, Theory Probab. Appl., 28:1 (1984), 208–209
91.	A. A. Novikov, T. L. Shervashidze, “The fifteenth all-union colloquium on probability theory and mathematical statistics”, Theory Probab. Appl., 26:4 (1982), 867–869
92.	A. A. Novikov, T. L. Shervashidze, “The fourteenth all-union colloquium on probability theory and mathematical statistics”, Theory Probab. Appl., 26:1 (1981), 209–211
93.	A. A. Novikov, T. L. Šervašidze, “The Thirteenth All-Union Colloquium on Probability Theory and Mathematical Statistics”, Theory Probab. Appl., 24:4 (1980), 888–890
94.	A. A. Novikov, A. S. Holevo, “The Twelfth All-Union Seminar on Probability Theory and Mathematical Statistics”, Theory Probab. Appl., 23:4 (1979), 853
95.	Statistika i upravlenie sluchainymi protsessami, Tr. MIAN, 202, ed. A. A. Novikov, A. N. Shiryaev, E. F. Mischenko, TVP, M., 1993 , 304 pp.

Presentations in Math-Net.Ru

1.	On maximal inequalities for Ornstein-Uhlenbeck processes with jumps Alex Novikov, Nino Kordzakhia International Conference "Theory of Probability and Its Applications: P. L. Chebyshev – 200" (The 6th International Conference on Stochastic Methods) May 22, 2021 10:00
2.	First passage time problems: martingale approach revised A. A. Novikov Conference "Stochastics, Statistics, Financial Mathematics" in honor of Professor Albert Shiryaev's 80th anniversary October 14, 2014 14:30
3.	Lower and upper bounds for Asian-type options: a unified approach Alexander Novikov International conference "Advanced Finance and Stochastics" June 24, 2013 12:10
4.	An approach to calculating the variance of Pitman estimators A. A. Novikov, N. E. Kordzahiya Principle Seminar of the Department of Probability Theory, Moscow State University February 9, 2011 16:45
5.	О вероятностях разорения в моделях рисков с постоянной процентной ставкой Nino Kordzahiya, Alexander Novikov, Gurami Tsitsiashvili Principle Seminar of the Department of Probability Theory, Moscow State University March 31, 2010 16:45
6.	Некоторые мартингальные приемы в получении точных результатов в граничных задачах для броуновского движения A. A. Novikov, A. N. Shiryaev Principle Seminar of the Department of Probability Theory, Moscow State University October 26, 2005

Books in Math-Net.Ru

Statistics and control of stochastic processes, Trudy Mat. Inst. Steklov., 202, ed. A. A. Novikov, A. N. Shiryaev, E. F. Mishchenko, 1993, 304 с.
http://mi.mathnet.ru/book1103

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