Igor Cialenco

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Tomasz R. BieleckiProfessor of Applied Mathematics, Illinois Institute of TechnologyVerified email at iit.edu
Tao ChenPostdoctoral Assistant Professor, University of Michigan, Ann ArborVerified email at umich.edu
Marcin PiteraJagiellonian UniversityVerified email at uj.edu.pl
Hyun-Jung KimVerified email at usc.edu
Yicong HuangIllinois Institute of TechnologyVerified email at hawk.iit.edu
Ruoting GongMathematical Reviews, American Mathematical SocietyVerified email at ams.org
Qi YeSchool of Mathematical Sciences, South China Normal UniversityVerified email at m.scnu.edu.cn
Gregory E FasshauerProfessor of Applied Mathematics, Colorado School of MinesVerified email at mines.edu
Jan PospíšilDepartment of Mathematics, University of West BohemiaVerified email at kma.zcu.cz
Nathan Glatt-HoltzTulane UniversityVerified email at tulane.edu
Ziteng ChengPostdoctoral fellow, Department of Statistical Sciences, University of TorontoVerified email at utoronto.ca
Francisco J. Delgado-VencesInstituto de Matemáticas, UNAM.Verified email at im.unam.mx
Samuel DrapeauShanghai Jiao Tong UniversityVerified email at saif.sjtu.edu.cn
Monique JEANBLANCProfesseur émérite mathématiques, université d' EvryVerified email at univ-evry.fr
Areski COUSINProfessor, University of Strasbourg, FranceVerified email at unistra.fr
Marek RutkowskiThe University of SydneyVerified email at sydney.edu.au
Levon GoukasianPepperdine UniversityVerified email at pepperdine.edu
Stanescu Marius MarinelProfessor, Faculty of Mechanics, University of Craiova, RomaniaVerified email at edu.ucv.ro
Birgit RudloffProfessor at Vienna University of Economics and Business, Institute for Statistics and MathematicsVerified email at wu.ac.at
Thorsten SchmidtProfessur für Finanzmathematik, TU ChemnitzVerified email at mathematik.tu-chemnitz.de

Igor Cialenco

Professor of Applied Mathematics, Illinois Institute of Technology

Verified email at iit.edu - Homepage

Probability Mathematical Finance Stochastic Control Risk Management Statistical Inference for SPDEs


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Statistical inference for SPDEs: an overview I Cialenco Statistical Inference for Stochastic Processes 21 (2), 309-329, 2018	73	2018
Approximation of stochastic partial differential equations by a kernel-based collocation method I Cialenco, GE Fasshauer, Q Ye International Journal of Computer Mathematics 89 (18), 2543-2561, 2012	63	2012
Asymptotic properties of the maximum likelihood estimator for stochastic parabolic equations with additive fractional Brownian motion I Cialenco, SV LOTOTSKY, JAN POSPÍŠIL Stochastics and Dynamics 9 (02), 169-185, 2009	49	2009
A note on parameter estimation for discretely sampled SPDEs I Cialenco, Y Huang Stochastics and Dynamics 20 (03), 2050016, 2020	47	2020
Parameter estimation for the stochastically perturbed Navier–Stokes equations I Cialenco, N Glatt-Holtz Stochastic Processes and their Applications 121 (4), 701-724, 2011	47	2011
Dynamic coherent acceptability indices and their applications to finance TR Bielecki, I Cialenco, Z Zhang Mathematical Finance 24 (3), 411-441, 2014	42	2014
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective TR Bielecki, I Cialenco, M Pitera Probability, Uncertainty and Quantitative Risk 2, 1-52, 2017	38	2017
Drift estimation for discretely sampled SPDEs I Cialenco, F Delgado-Vences, HJ Kim Stochastics and Partial Differential Equations: Analysis and Computations, 1-26, 2019	31	2019
Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices TR Bielecki, I Cialenco, I Iyigunler, R Rodriguez International Journal of Theoretical and Applied Finance 16 (01), 1350002, 2013	31	2013
Dynamic assessment indices TR Bielecki, I Cialenco, S Drapeau, M Karliczek Stochastics 88 (1), 1-44, 2016	30	2016
Dynamic conic finance via backward stochastic difference equations TR Bielecki, I Cialenco, T Chen SIAM Journal on Financial Mathematics 6 (1), 1068-1122, 2015	29	2015
Adaptive robust control under model uncertainty TR Bielecki, T Chen, I Cialenco, A Cousin, M Jeanblanc SIAM Journal on Control and Optimization 57 (2), 925-946, 2019	28	2019
Arbitrage-free pricing of derivatives in nonlinear market models TR Bielecki, I Cialenco, M Rutkowski Probability, Uncertainty and Quantitative Risk 3, 1-56, 2018	27	2018
Do technical trading profits remain in the foreign exchange market? Evidence from 14 currencies I Cialenco, A Protopapadakis Journal of International Financial Markets, Institutions and Money 21 (2 …, 2011	27*	2011
A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time TR Bielecki, I Cialenco, M Pitera Mathematics of Operations Research, 2017	26*	2017
Parameter estimation in diagonalizable bilinear stochastic parabolic equations I Cialenco, SV Lototsky Statistical inference for stochastic processes 12 (3), 203-219, 2009	24	2009
Parameter estimation for semilinear SPDEs from local measurements R Altmeyer, I Cialenco, G Pasemann Bernoulli 29 (3), 2035-2061, 2023	21	2023
Collateralized CVA Valuation with Rating Triggers and Credit Migrations TR Bielecki, I Cialenco, I Iyigunler International Journal of Theoretical and Applied Finance 16 (2), 2012	19	2012
PARAMETER ESTIMATION FOR SPDEs WITH MULTIPLICATIVE FRACTIONAL NOISE I Cialenco Stochastics and Dynamics 10 (04), 561-576, 2010	19	2010
Recursive construction of confidence regions T Bielecki, T Chen, I Cialenco Electronic Journal of Statistics 11 (2), 4674-4700, 2017	15	2017

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