Alexander Alexandrovich Gushchin - Russian mathematician, doctor of physical and mathematical sciences, professor of Moscow State University, leading researcher of the MIRAN them. V.A. Steklova .
| Alexander Alexandrovich Gushchin | |
|---|---|
| Date of Birth | 1958 |
| Scientific field | maths |
| Academic degree | doctor of physical and mathematical sciences |
Born in 1958
He graduated from the Faculty of Mechanics and Mathematics of Moscow State University (1979, Department of Probability Theory) and the postgraduate study of MIRAN (1982, a student of A. N. Shiryaev).
In 1983 he defended his PhD, in 1997 - his doctoral thesis on the topic "Studies in the theory of semimartingales and their statistics."
Since 1982, he has been working at the Mathematical Institute (MIRAN named after V.A. Steklov), currently the leading researcher of the Department of Probability Theory and Mathematical Statistics.
Since 1998, part-time professor at the Department of Probability Theory, Moscow State University, reads the special course “Stochastic Analysis in Statistics of Random Processes” and leads a special seminar on this topic; supervises undergraduate and graduate works of students, as well as graduate students.
Research interests: stochastic calculus, martingale theory, random process statistics, statistical information theory, financial mathematics.
Scientific results:
- introduced the concept of weak predictability and found the corresponding Doob – Meyer expansions for random fields; developed the theory of stochastic integration for strong martingales;
- for parametric statistical models on filtering spaces, we investigated the structure of the derivative of the logarithm of the likelihood ratio process, obtained information inequalities of the Rao – Cramer type.
- investigated the problem of estimating parameters from observations of solutions of stochastic differential equations with delay;
- developed the theory of limit theorems for likelihood ratio processes.
Published 49 articles, 1 book (2015 Stochastic calculus for quantitative finance Gushchin Alexander A. ISTE, Elsevier, ISBN 978-1-78548-034-8 , 208 p.), Read 34 reports at conferences.
Full list of publications http://www.mi.ras.ru/index.php?c=pubs&id=17972&showmode=years&showall=show&l=0