Persons: Novikov, Aleksandr Aleksandrovich

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Novikov, Aleksandr Aleksandrovich

Total publications:	94 (80)
in MathSciNet:	76 (75)
in zbMATH:	59 (58)
in Web of Science:	41 (37)
in Scopus:	39 (38)
Cited articles:	58
Citations:	869
Presentations:	6

Number of views:
This page:	5566
Abstract pages:	17698
Full texts:	6714
References:	833

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

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by times cited

common list

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

Articles

1.	A. A. Novikov, A. N. Shiryaev, N. E. Kordzahiya, Teor. Veroyatnost. i Primenen., 69:4 (to appear)
2.	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
3.	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
4.	Alexander Gushchin, Nino Kordzakhia, Alexander Novikov, “Translation invariant statistical experiments with independent increments”, Stat. Inference Stoch. Process., 21:2 (2018), 363–383	1 ^[x]
5.	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]
6.	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	10 ^[x]
7.	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	24 ^[x]
8.	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]
9.	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
10.	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]
11.	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
12.	A. Novikov, A. Shiryaev, “Remarks on moment inequalities and identities for martingales”, Statist. Probab. Lett., 83:4 (2013), 1260–1261	1 ^[x]
13.	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
14.	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]
15.	A. A. Novikov, N. E. Kordzakhia, “Pitman estimators: an asymptotic variance revisited”, Theory Probab. Appl., 57:3 (2013), 521–529
16.	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]
17.	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
18.	J. Hinz, A. Novikov, “On fair pricing of emission-related derivatives”, Bernoulli, 16:4 (2010), 1240–1261	17 ^[x]
19.	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]
20.	A. A. Novikov, “On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences”, Theory Probab. Appl., 53:3 (2009), 419–429
21.	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]
22.	N. Kordzakhia, A. Novikov, “Pricing of defaultable securities under stochastic interest”, Mathematical control theory and finance, Springer, Berlin, 2008, 251–263
23.	K. Borovkov, A. Novikov, “On exit times of Levy-driven Ornstein-Uhlenbeck processes”, Statist. Probab. Lett., 78:12 (2008), 1517–1525	16 ^[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.	A. Novikov, N. Kordzakhia, “Martingales and first passage times of AR(1) sequences”, Stochastics, 80:2-3 (2008), 197–210	21 ^[x]
26.	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]
27.	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]
28.	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]
29.	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
30.	A. A. Novikov, “Martingales and first passage times for Ornstein–Uhlenbeck processes with a jump component”, Theory Probab. Appl., 48:2 (2004), 288–303
31.	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]
32.	“Geometric Lévy Process Pricing Model”, Proc. Steklov Inst. Math., 237 (2002), 176–191
33.	K. Borovkov, A. Novikov, “On a new approach to calculating expectations for option pricing”, J. Appl. Probab., 39:4 (2002), 889–895	24 ^[x]
34.	K. Borovkov, A. Novikov, “On a piece-wise deterministic Markov process model”, Statist. Probab. Lett., 53:4 (2001), 421–428	10 ^[x]
35.	Theory Probab. Appl., 44:3 (2000), 591–604
36.	A. Novikov, V. Frishling, N. Kordzakhia, “Approximations of boundary crossing probabilities for a Brownian motion”, J. Appl. Probab., 36:4 (1999), 1019–1030	58 ^[x]
37.	A. Novikov, E. Valkeila, “On some maximal inequalities for fractional Brownian motions”, Statist. Probab. Lett., 44:1 (1999), 47–54	38 ^[x]
38.	A. A. Novikov, “Hedging of options with a given probability”, Theory Probab. Appl., 43:1 (1999), 135–143
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, “Martingales, Tauberian theorem, and strategies of gambling”, Theory Probab. Appl., 41:4 (1997), 716–729
41.	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
42.	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
43.	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]
44.	A. Le Breton, A. A. Novikov, “Averaging for estimating covariances in stochastic approximation”, Math. Methods Statist., 3:3 (1994), 244–266
45.	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
46.	A. A. Novikov, A. N. Shiryaev, “Foreword”, Statistics and control of stochastic processes, Trudy Mat. Inst. Steklov., 202, TVP, Moscow, 1993, 3
47.	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
48.	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
49.	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)
50.	A. V. Melnikov, A. A. Novikov, “Sequential Inferences with Prescribed Accuracy for Semimartingales”, Theory Probab. Appl., 33:3 (1988), 446–459
51.	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
52.	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
53.	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
54.	Theory Probab. Appl., 31:2 (1987), 221–232
55.	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
56.	A. A. Novikov, “Efficiency of selection procedures”, J. Soviet Math., 42, no. 1 (1988), 1475–1479
57.	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
58.	A. A. Novikov, “Small deviations of Gaussian process”, Math. Notes, 29:2 (1981), 150–155
59.	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
60.	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
61.	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]
62.	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
63.	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]
64.	A. A. Novikov, “Recursive interpolation of partially observable random fields”, Mathematical statistics, Banach Center Publ., 6, PWN, Warsaw, 1980, 245–247
65.	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
66.	A. A. Novikov, “On the conditions of the uniform integrability of the continuous nonnegative martingales”, Theory Probab. Appl., 24:4 (1980), 820–824
67.	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
68.	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
69.	A. A. Novikov, “On conditions for absolute continuity of probability measures”, Math. USSR-Sb., 35:5 (1979), 697–707
70.	A. A. Novikov, “Recurrent interpolation of partially observed random fields with discrete parameter”, Theory Probab. Appl., 23:2 (1979), 390–395
71.	A. A. Novikov, “On discontinuous martingales”, Theory Probab. Appl., 20:1 (1975), 11–26
72.	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
73.	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
74.	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]
75.	A. A. Novikov, “Sequential estimation of the parameters of diffusion processes”, Math. Notes, 12:5 (1972), 812–818
76.	A. A. Novikov, “On an identity for stochastic integrals”, Theory Probab. Appl., 17:4 (1973), 717–720
77.	A. A. Novikov, “Estimation of the parameters of diffusion processes”, Studia Sci. Math. Hungar., 7 (1972), 201–209 (Russian)
78.	A. A. Novikov, “On moment inequalities for stochastic integrals”, Theory Probab. Appl., 16:3 (1971), 538–541
79.	A. A. Novikov, “On stopping times for the Wiener process”, Theory Probab. Appl., 16:3 (1971), 449–456
Thesis

80.	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
Information matherials

81.	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
82.	T. L. Shervashidze, A. A. Novikov, “XX Winter School on Probability Theory and Mathematical Statistics”, Theory Probab. Appl., 32:4 (1987), 751
83.	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
84.	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
85.	A. E. Bashirov, A. A. Novikov, “Information on the International conference «Stochastic differential systems»”, Theory Probab. Appl., 30:1 (1986), 223
86.	A. A. Novikov, T. L. Shervashidze, “XVIII Winter School on Probability Theory and Mathematical Statistics”, Theory Probab. Appl., 29:3 (1985), 640–643
87.	A. A. Novikov, A. N. Širyaev, “IV Soviet-Japanese symposium on probability theory and mathematical statistics”, Theory Probab. Appl., 28:1 (1984), 208–209
88.	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
89.	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
90.	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
91.	A. A. Novikov, A. S. Holevo, “The Twelfth All-Union Seminar on Probability Theory and Mathematical Statistics”, Theory Probab. Appl., 23:4 (1979), 853
Personalia

92.	R. Liptser, A. Novikov, A. G. Tartakovsky, “Celebrating Albert Shiryaev's 75th anniversary”, Sequential Anal., 29:2 (2010), 107–111
Miscellaneous

93.	Statistika i upravlenie sluchainymi protsessami, Tr. MIAN, 202, ed. A. A. Novikov, A. N. Shiryaev, E. F. Mischenko, TVP, M., 1993 , 304 pp.
Letters, errata

94.	A. A. Novikov, “Letter to the Editor”, Theory Probab. Appl., 18:3 (1974), 642 ;

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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Thesis

Information matherials

Personalia

Miscellaneous

Letters, errata