Persons: Novikov, Aleksandr Aleksandrovich

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Novikov, Aleksandr Aleksandrovich

Statistics
in MathSciNet:	78 (76)
in zbMATH:	59 (58)
in Web of Science:	42 (37)
in Scopus:	40 (39)

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/ai:novikov.alexander-a

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

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

List of publications:

scientific publications

by years

by types

by times cited

common list

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

1.	N. E. Kordzahiya, M. G. Mania, A. A. Novikov, M. V. Zhitlukhin, Teor. Veroyatnost. i Primenen. (to appear)

2025
2.	A. V. Bulinski, A. A. Gushchin, M. V. Zhitlukhin, V. V. Kozlov, A. D. Manita, A. A. Muravlev, A. A. Novikov, I. V. Pavlov, D. V. Treschev, A. S. Holevo, E. B. Yarovaya, P. A. Yaskov, “Albert Nikolaevich Shiryaev (on his 90th birthday)”, Russian Math. Surveys, 80:1 (2025), 161–168
3.	A. A. Novikov, A. N. Shiryaev, N. E. Kordzahiya, “On parameter estimation of diffusion processes: sequential and fixed sample size estimation revisited”, Theory Probab. Appl., 69:4 (2025), 531–552

2023
4.	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

2022
5.	Theory Probab. Appl., 66:4 (2022), 713–728

2018
6.	Alexander Gushchin, Nino Kordzakhia, Alexander Novikov, “Translation invariant statistical experiments with independent increments”, Stat. Inference Stoch. Process., 21:2 (2018), 363–383	1 ^[x]
7.	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]
8.	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]

2017
9.	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	27 ^[x]
10.	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]
11.	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

2014
12.	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	3 ^[x]
13.	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

2013
14.	A. Novikov, A. Shiryaev, “Remarks on moment inequalities and identities for martingales”, Statist. Probab. Lett., 83:4 (2013), 1260–1261	1 ^[x]

2014
15.	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

2013
16.	U. Çetin, A. Novikov, A. N. Shiryaev, “Bayesian sequential estimation of a drift of fractional Brownian motion”, Sequential Anal., 32:3 (2013), 288–296	17 ^[x]
17.	A. A. Novikov, N. E. Kordzakhia, “Pitman estimators: an asymptotic variance revisited”, Theory Probab. Appl., 57:3 (2013), 521–529

2011
18.	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	13 ^[x]

2010
19.	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
20.	J. Hinz, A. Novikov, “On fair pricing of emission-related derivatives”, Bernoulli, 16:4 (2010), 1240–1261	17 ^[x]
21.	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]
22.	R. Liptser, A. Novikov, A. G. Tartakovsky, “Celebrating Albert Shiryaev's 75th anniversary”, Sequential Anal., 29:2 (2010), 107–111

2009
23.	A. A. Novikov, “On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences”, Theory Probab. Appl., 53:3 (2009), 419–429

2008
24.	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]
25.	N. Kordzakhia, A. Novikov, “Pricing of defaultable securities under stochastic interest”, Mathematical control theory and finance, Springer, Berlin, 2008, 251–263
26.	K. Borovkov, A. Novikov, “On exit times of Levy-driven Ornstein-Uhlenbeck processes”, Statist. Probab. Lett., 78:12 (2008), 1517–1525	16 ^[x]
27.	T. Schmidt, A. Novikov, “A structural model with unobserved default boundary”, Appl. Math. Finance, 15:1-2 (2008), 183–203	15 ^[x]
28.	A. Novikov, N. Kordzakhia, “Martingales and first passage times of AR(1) sequences”, Stochastics, 80:2-3 (2008), 197–210	23 ^[x]

2007
29.	A. Novikov, A. Shiryaev, “On solution of the optimal stopping problem for processes with independent increments”, Stochastics, 79:3-4 (2007), 393–406	34 ^[x]

2006
30.	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]

2005
31.	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	29 ^[x]
32.	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

2004
33.	A. A. Novikov, “Martingales and first passage times for Ornstein–Uhlenbeck processes with a jump component”, Theory Probab. Appl., 48:2 (2004), 288–303

2003
34.	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]

2002
35.	“Geometric Lévy Process Pricing Model”, Proc. Steklov Inst. Math., 237 (2002), 176–191
36.	K. Borovkov, A. Novikov, “On a new approach to calculating expectations for option pricing”, J. Appl. Probab., 39:4 (2002), 889–895	24 ^[x]

2001
37.	K. Borovkov, A. Novikov, “On a piece-wise deterministic Markov process model”, Statist. Probab. Lett., 53:4 (2001), 421–428	10 ^[x]

2000
38.	Theory Probab. Appl., 44:3 (2000), 591–604

1999
39.	A. Novikov, V. Frishling, N. Kordzakhia, “Approximations of boundary crossing probabilities for a Brownian motion”, J. Appl. Probab., 36:4 (1999), 1019–1030	67 ^[x]
40.	A. Novikov, E. Valkeila, “On some maximal inequalities for fractional Brownian motions”, Statist. Probab. Lett., 44:1 (1999), 47–54	42 ^[x]
41.	A. A. Novikov, “Hedging of options with a given probability”, Theory Probab. Appl., 43:1 (1999), 135–143

1997
42.	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]
43.	A. A. Novikov, “Martingales, Tauberian theorem, and strategies of gambling”, Theory Probab. Appl., 41:4 (1997), 716–729

1996
44.	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
45.	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

1995
46.	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]

1994
47.	A. Le Breton, A. A. Novikov, “Averaging for estimating covariances in stochastic approximation”, Math. Methods Statist., 3:3 (1994), 244–266
48.	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

1993
49.	A. A. Novikov, A. N. Shiryaev, “Foreword”, Statistics and control of stochastic processes, Trudy Mat. Inst. Steklov., 202, TVP, Moscow, 1993, 3
50.	Statistika i upravlenie sluchainymi protsessami, Tr. MIAN, 202, ed. A. A. Novikov, A. N. Shiryaev, E. F. Mischenko, TVP, M., 1993 , 304 pp.

1990
51.	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
52.	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

1989
53.	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)

1988
54.	A. V. Melnikov, A. A. Novikov, “Sequential Inferences with Prescribed Accuracy for Semimartingales”, Theory Probab. Appl., 33:3 (1988), 446–459
55.	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
56.	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

1987
57.	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
58.	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
59.	T. L. Shervashidze, A. A. Novikov, “XX Winter School on Probability Theory and Mathematical Statistics”, Theory Probab. Appl., 32:4 (1987), 751
60.	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
61.	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
62.	Theory Probab. Appl., 31:2 (1987), 221–232

1985
63.	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

1986
64.	A. E. Bashirov, A. A. Novikov, “Information on the International conference «Stochastic differential systems»”, Theory Probab. Appl., 30:1 (1986), 223

1988
65.	A. A. Novikov, “Efficiency of selection procedures”, J. Soviet Math., 42, no. 1 (1988), 1475–1479

1984
66.	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

1985
67.	A. A. Novikov, T. L. Shervashidze, “XVIII Winter School on Probability Theory and Mathematical Statistics”, Theory Probab. Appl., 29:3 (1985), 640–643

1984
68.	A. A. Novikov, A. N. Širyaev, “IV Soviet-Japanese symposium on probability theory and mathematical statistics”, Theory Probab. Appl., 28:1 (1984), 208–209

1983
69.	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

1981
70.	A. A. Novikov, “Small deviations of Gaussian process”, Math. Notes, 29:2 (1981), 150–155

1983
71.	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

1982
72.	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

1981
73.	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]

1982
74.	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

1981
75.	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
76.	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

1980
77.	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]
78.	A. A. Novikov, “Recursive interpolation of partially observable random fields”, Mathematical statistics, Banach Center Publ., 6, PWN, Warsaw, 1980, 245–247

1981
79.	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

1980
80.	A. A. Novikov, “On the conditions of the uniform integrability of the continuous nonnegative martingales”, Theory Probab. Appl., 24:4 (1980), 820–824

1979
81.	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
82.	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

1980
83.	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

1979
84.	A. A. Novikov, “On conditions for absolute continuity of probability measures”, Math. USSR-Sb., 35:5 (1979), 697–707
85.	A. A. Novikov, “Recurrent interpolation of partially observed random fields with discrete parameter”, Theory Probab. Appl., 23:2 (1979), 390–395
86.	A. A. Novikov, A. S. Holevo, “The Twelfth All-Union Seminar on Probability Theory and Mathematical Statistics”, Theory Probab. Appl., 23:4 (1979), 853

1975
87.	A. A. Novikov, “On discontinuous martingales”, Theory Probab. Appl., 20:1 (1975), 11–26
88.	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

1974
89.	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

1973
90.	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]

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

1972
92.	A. A. Novikov, “Sequential estimation of the parameters of diffusion processes”, Math. Notes, 12:5 (1972), 812–818

1973
93.	A. A. Novikov, “On an identity for stochastic integrals”, Theory Probab. Appl., 17:4 (1973), 717–720

1972
94.	A. A. Novikov, “Estimation of the parameters of diffusion processes”, Studia Sci. Math. Hungar., 7 (1972), 201–209 (Russian)

1971
95.	A. A. Novikov, “On moment inequalities for stochastic integrals”, Theory Probab. Appl., 16:3 (1971), 538–541
96.	A. A. Novikov, “On stopping times for the Wiener process”, Theory Probab. Appl., 16:3 (1971), 449–456

Presentations in Math-Net.Ru

1.	Closing the Conference A. A. Novikov International Conference “Stochastic analysis, Statistics of Random Processes and Optimisation” dedicated to the 90th anniversary of Academician Albert Shiryaev December 13, 2024 19:25
2.	On parameter estimation of diffusion-type processes: sequential approach revisited A. A. Novikov, A. N. Shiryaev, N. E. Kordzakhia International Conference “Stochastic analysis, Statistics of Random Processes and Optimisation” dedicated to the 90th anniversary of Academician Albert Shiryaev December 10, 2024 15:00
3.	List of PhD students of Albert Shiryaev A. A. Novikov, M. G. Mania International Conference “Stochastic analysis, Statistics of Random Processes and Optimisation” dedicated to the 90th anniversary of Academician Albert Shiryaev December 9, 2024 10:25
4.	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
5.	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
6.	Lower and upper bounds for Asian-type options: a unified approach Alexander Novikov International conference "Advanced Finance and Stochastics" June 24, 2013 12:10
7.	An approach to calculating the variance of Pitman estimators A. A. Novikov, N. E. Kordzakhia Principle Seminar of the Department of Probability Theory, Moscow State University February 9, 2011 16:45
8.	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
9.	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

Organisations