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Igor Cialenco
Title
Cited by
Cited by
Year
Statistical inference for SPDEs: an overview
I Cialenco
Statistical Inference for Stochastic Processes 21 (2), 309-329, 2018
762018
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
642012
A note on parameter estimation for discretely sampled SPDEs
I Cialenco, Y Huang
Stochastics and Dynamics 20 (03), 2050016, 2020
502020
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
502009
Parameter estimation for the stochastically perturbed Navier–Stokes equations
I Cialenco, N Glatt-Holtz
Stochastic Processes and their Applications 121 (4), 701-724, 2011
492011
Dynamic coherent acceptability indices and their applications to finance
TR Bielecki, I Cialenco, Z Zhang
Mathematical Finance 24 (3), 411-441, 2014
422014
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
382017
Drift estimation for discretely sampled SPDEs
I Cialenco, F Delgado-Vences, HJ Kim
Stochastics and Partial Differential Equations: Analysis and Computations, 1-26, 2019
332019
Dynamic conic finance via backward stochastic difference equations
TR Bielecki, I Cialenco, T Chen
SIAM Journal on Financial Mathematics 6 (1), 1068-1122, 2015
312015
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
312013
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
302019
Dynamic assessment indices
TR Bielecki, I Cialenco, S Drapeau, M Karliczek
Stochastics 88 (1), 1-44, 2016
302016
Arbitrage-free pricing of derivatives in nonlinear market models
TR Bielecki, I Cialenco, M Rutkowski
Probability, Uncertainty and Quantitative Risk 3, 1-56, 2018
272018
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
27*2017
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
26*2011
Parameter estimation in diagonalizable bilinear stochastic parabolic equations
I Cialenco, SV Lototsky
Statistical inference for stochastic processes 12 (3), 203-219, 2009
242009
Parameter estimation for semilinear SPDEs from local measurements
R Altmeyer, I Cialenco, G Pasemann
Bernoulli 29 (3), 2035-2061, 2023
232023
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
202012
PARAMETER ESTIMATION FOR SPDEs WITH MULTIPLICATIVE FRACTIONAL NOISE
I Cialenco
Stochastics and Dynamics 10 (04), 561-576, 2010
202010
Recursive construction of confidence regions
T Bielecki, T Chen, I Cialenco
Electronic Journal of Statistics 11 (2), 4674-4700, 2017
152017
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Articles 1–20