Melnikov Aleksandr Viktorovich

Publications in Math-Net.Ru

1. On the Unity of Quantitative Methods of Pricing in Finance and Insurance
   
   Trudy Mat. Inst. Steklova, 237 (2002),  57–79
2. Martingale models of stochastic approximation and their convergence
   
   Teor. Veroyatnost. i Primenen., 44:2 (1999),  278–311
3. On the mean-variance hedging problem
   
   Teor. Veroyatnost. i Primenen., 43:4 (1998),  672–691
4. Stochastic differential equations: singularity of coefficients, regression models, and stochastic approximation
   
   Uspekhi Mat. Nauk, 51:5(311) (1996),  43–136
5. Toward the theory of pricing of options of both European and American types. II. Continuous time
   
   Teor. Veroyatnost. i Primenen., 39:1 (1994),  80–129
6. Toward the theory of pricing of options of both European and American types. I. Discrete time
   
   Teor. Veroyatnost. i Primenen., 39:1 (1994),  23–79
7. On the probabilities of “arge deviations” for multidimensional martingales
   
   Uspekhi Mat. Nauk, 45:2(272) (1990),  213–214
8. Procedures of stochastic approximation in statistics of semimartingale type of processes
   
   Uspekhi Mat. Nauk, 43:4(262) (1988),  215–216
9. The Disorder Problem for Semimartingales
   
   Teor. Veroyatnost. i Primenen., 33:3 (1988),  621–625
10. Sequential Inferences with Prescribed Accuracy for Semimartingales
    
    Teor. Veroyatnost. i Primenen., 33:3 (1988),  480–494
11. The law of large numbers for multidimensional martingales
    
    Dokl. Akad. Nauk SSSR, 286:3 (1986),  546–550
12. Gronwall's lemma and stochastic equations for components of semimartingales
    
    Mat. Zametki, 32:3 (1982),  411–423
13. Stochastic martingalelike sequences and processes
    
    Teor. Veroyatnost. i Primenen., 27:3 (1982),  547–551
14. On the theory of stochastic equations in components of semimartingales
    
    Mat. Sb. (N.S.), 110(152):3(11) (1979),  414–427
15. On the strong solutions of stochastic differential equations with nonsmooth coefficients
    
    Teor. Veroyatnost. i Primenen., 24:1 (1979),  146–149


16. Book review: Kallianpur G., Karandikar R. L. “Inroduction to Option Pricing Theory”
    
    Teor. Veroyatnost. i Primenen., 45:4 (2000),  823–824
17. Information on the meetings of the general seminar of the Department of Probability, Faculty of Mathematics and Mechanics, Moscow State University
    
    Teor. Veroyatnost. i Primenen., 45:1 (2000),  203–204
18. International Conference: “Actuarial Science: Theory, Education, and Implementation”
    
    Teor. Veroyatnost. i Primenen., 43:1 (1998),  206