Kostiantyn Ralchenko

• Fractional and multifractional random processes and fields
  
• Stochastic differential equations
  
• Statistical inference for stochastic processes
  

• Member of International Statistical Institute
  

Conferences

• Ukraine Mathematics Conference At the End of the Year 2024, Kyiv, Ukraine, December 16–18 (2024)
  Title of the talk: Discretization of integrals driven by multifractional Brownian motions
• 42nd Finnish Summer School on Probability and Statistics, Lammi, Finland, May 27-31 (2024)
  Title of the talk: Fractional Vasicek model: Asymptotic properties and statistical inference (minicourse, 6 hours)
• Workshop “Exploring the World of Mathematics”, Västerås, Sweden, May 14-16 (2024)
  Title of the talk: Asymptotic growth of tempered fractional Brownian motions with statistical applications
• ХХIІ Int. Conf. “Shevchenkivska Vesna – 2024”, Kyiv, Ukraine, April 11 (2024)
  Title of the talk: Properties of the entropic risk measure EVaR in relation to selected distributions
• Workshop on Stochastics, Memory and Roughness 2024, Oslo, Norway, January 17-19 (2024)
  Title of the talk: Drift parameter estimation in Vasicek-type model driven by tempered fractional Brownian motion
• Мехматівські читання, Київ, Україна, 1 грудня (2023)
  Title of the talk: Оцінювання параметрів змішаного дробового броунівського руху
• Business analytics seminar, The University of Sydney Business School, Sydney, Australia, May 19 (2023)
  Title of the talk: Joint estimation of all parameters for mixed fractional Brownian motion with trend
• Int. Workshop “Stochastic processes with statistical applications and fractional stochastic calculus”, Kyiv, Ukraine, May 17 (2023)
  Title of the talk: Parameter estimation in mixed fractional models
• Stochastics and Finance seminar, The University of Sydney, Sydney, Australia, March 7 (2023)
  Title of the talk: Drift parameters estimation in the fractional Vasicek model
• Statistics, modeling and operations research (SMOR) seminar, The University of Queensland, Brisbane, Australia, February 23 (2023)
  Title of the talk: Parameter estimation in stochastic heat equation with fractional Brownian motion
• Statistics Working Group & Biostatistics Seminar, Macquarie University, Sydney, Australia, December 6 (2022)
  Title of the talk: Drift parameter estimation in discretised stochastic differential equations driven by fractional Brownian motion
• Int. Workshop “Statistics of Stochastic Processes in Discrete and Continuous Time” (October 11-12, 2022), Kyiv, Ukraine (2022)
• MATRIX research program “Mathematics of Risk – 2022” (October 31 - November 11, 2022), Creswick, Australia (2022)
• Int. Conf. “Modern Stochastics: Theory and Applications V” (June 1-4, 2021), Kyiv, Ukraine (2021)
• International Scientific Days on Stochastic & Fractional Calculus (April 5-6, 2021), Monastir, Tunisia (2021)
• 8th European Congress of Mathematics (20-26 June 2021), Portorož, Slovenia (2021)
• Conf. “Actual Problems of Stochastic Analysis” dedicated to the 80th anniversary of Academician Sh. K. Formanov (February 20-21, 2021) , Tashkent, Uzbekistan (2021)
• The 9th Int. Conf. on Informatics and Computer Technics Problems (October 28-31, 2020), Chernivtsi, Ukraine (2020)
• Workshop “Stochastic modelling on complex systems: First steps on the long road” (July 2020), Napoli, Italy (2020)
• Workshop “A first bite of STORM” (January 15, 2020), Oslo, Norway (2020)
• CSA2019 - Conference in Stochastic Analysis and Applications (August 25-30, 2019), Risør, Norway (2019)
• 12th International Vilnius Conference on Probability Theory and Mathematical Statistics and 2018 IMS Annual Meeting on Probability and Statistics (July 2-6, 2018), Vilnius, Lithuania (2018)
• Int. Conf. “Modern Stochastics: Theory and Applications. IV” (May 24-26, 2018), Kyiv, Ukraine (2018)
• Int. Conf. on Differential Equations, Mathematical Physics and Applications (October 17-19, 2017), Cherkasy, Ukraine (2017)
• 61st ISI World Statistics Congress (July 16-21, 2017), Marrakech, Morocco (2017)
• Limit Theorems in Probability Theory, Number Theory and Mathematical Statistics : Int. workshop in honour of Prof. V.V. Buldygin (October 10-12, 2016), Kyiv, Ukraine (2016)
• 11th Int. Conf. “Computer Data Analysis & Modeling 2016: Theoretical & Applied Stochastics” (September 6-10, 2016), Minsk, Belarus (2016)
• Workshop “Statistique Asymptotique des Processus Stochastiques X” (17-20 Mars 2015), Le Mans, France (2015)
• Int. Conf. “Probability, Reliability and Stochastic Optimization” (April 7-10, 2015), Kyiv, Ukraine (2015)

Publications

Monographs

• Y. Mishura, K. Ralchenko "Discrete-time approximations and limit theorems: In applications to financial markets". De Gruyter, 390 p. - 2021
• O. Banna, Y. Mishura, K. Ralchenko, S. Shklyar "Fractional Brownian Motion: Approximations and Projections". ISTE Ltd. & Wiley, 288 p. - 2019
• K. Kubilius, Y. Mishura, K. Ralchenko "Parameter Estimation in Fractional Diffusion Models". Bocconi & Springer Series, vol. 8. Springer, 390 p. - 2017

Textbooks and tutorials

• Ю.С.Мішура, К.В.Ральченко, Л.М.Сахно, Г.М.Шевченко "Випадкові процеси: теорія, статистика, застосування. 2-ге вид., випр. і допов.". ВПЦ "Київський університет", 495 p. - 2024
• В.В. Голомозий, Р.Є. Майборода, Ю.С. Мішура, К.В. Ральченко, М.В. Карташов, О.Г. Кукуш, С.В. Кушніренко, Г.М. Шевченко "Збірник задач з теорії ймовірностей та математичної статистики". , 380 p. - 2024
• Ю.С.Мішура, К.В.Ральченко, Л.М.Сахно, Г.М.Шевченко "Випадкові процеси: теорія, статистика, застосування". К., Видавничо-полiграфiчний центр «Київський унiверситет», 480 p. - 2018
• В.В.Голомозий, М.В.Карташов, К.В.Ральченко. "Методичні вказівки до самостiйних та лабораторних робiт з дисциплiни «Додатковi роздiли теорiї ймовiрностей»". К., Видавничо-полiграфiчний центр «Київський унiверситет», 23 p. - 2015
• В.В.Голомозий, М.В.Карташов, К.В.Ральченко. "Збірник задач з теорії ймовірностей та математичної статистики". К., Видавничо-полiграфiчний центр «Київський унiверситет», 366 p. - 2015
• О.І.Василик, М.В.Карташов, В.П.Кнопова, К.В.Ральченко, А.Ю.Рижов, Г.М.Шевченко. "Методичні вказівки до лабораторних та самостiйних робiт із дисциплiни «Математична статистика»". К., Видавничо-полiграфiчний центр «Київський унiверситет», 84 p. - 2014

Articles

2025
• Y. Mishura, K. Ralchenko, O. Dehtiar "Asymptotic properties of parameter estimators in Vasicek model driven by tempered fractional Brownian motion". Austrian Journal of Statistics, Vol.54, Iss.1 pp. 61 - 81, - 2025
• Y. Mishura, K. Ralchenko, S. Kushnirenko "Driven by Brownian motion Cox–Ingersoll–Ross and squared Bessel processes: Interaction and phase transition". Physics of Fluids, Vol.37, Iss.1 - 2025
• O. Prykhodko, K. Ralchenko "Discretization and asymptotic normality of drift parameters estimator in the Cox-Ingersoll-Ross model". Austrian Journal of Statistics, Vol.54, Iss.1 pp. 82 - 99, - 2025
2024
• O. Chernova, O. Dehtiar, Y. Mishura, K. Ralchenko "Rate of convergence of discretized drift parameters estimators in the Cox–Ingersoll–Ross model". Communications in Statistics – Theory and Methods, Vol.54, Iss.13 pp. 4857 - 4879, - 2024
• Y. Mishura, K. Ralchenko, P. Zelenko, V. Zubchenko "Properties of the entropic risk measure EVaR in relation to selected distributions". Modern Stochastics: Theory and Applications, Vol.11, Iss.4 pp. 373 - 394, - 2024
• Y. Mishura, K. Ralchenko " Asymptotic growth of sample paths of tempered fractional Brownian motions, with statistical applications to Vasicek-type models". Fractal and Fractional, Vol.8, Iss.2:79 - 2024
• K. Ralchenko, M. Yakovliev "Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations". Modern Stochastics: Theory and Applications, Vol.11, Iss.1 pp. 1 - 29, - 2024
• Y. Mishura, K. Ralchenko "Fractional diffusion Bessel processes with Hurst index H∊(0,1/2)". Statistics & Probability Letters, Vol. 206, 110008, - 2024
• O. Prykhodko, K. Ralchenko "Asymptotic normality of estimators for all parameters in the Vasicek model by discrete observations". Theory of Probability and Mathematical Statistics, Vol.111, Iss. pp. 123 - 135, - 2024
• Yu. Mishura, K. Ralchenko, H. Zhelezniak "Numerical approach to the drift parameter estimation in the model with two fractional Brownian motions". Communications in Statistics - Simulation and Computation , Vol.53, Iss.7 pp. 3206 - 3220, - 2024
2023
• K. Ralchenko, M. Yakovliev "Asymptotically normal estimation of parameters of mixed fractional Brownian motion". Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics & Mathematics, Vol.2023, Iss.2 pp. 54 - 62, - 2023
• A. Malyarenko, Y. Mishura, K. Ralchenko, Y.A. Rudyk "Properties of various entropies of Gaussian distribution and comparison of entropies of fractional processes". Axioms, Vol.12, Iss.11 - 2023
• K. Ralchenko, M. Yakovliev "Asymptotic normality of parameter estimators for mixed fractional Brownian motion with trend". Austrian Journal of Statistics, Vol.52, Iss. pp. 127 - 148, - 2023
• Y. Mishura, K. Ralchenko, S. Shklyar "Gaussian Volterra processes: Asymptotic growth and statistical estimation". Theory of Probability and Mathematical Statistics, Vol.108, Iss. pp. 149 - 167, - 2023
• A. Malyarenko, Y. Mishura, K. Ralchenko, S. Shklyar "Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index". Fractional Calculus and Applied Analysis, Vol.26, Iss.3 pp. 1052 - 1081, - 2023
• D. Avetisian, K. Ralchenko "Parameter estimation in mixed fractional stochastic heat equation". Modern Stochastics: Theory and Applications, Vol.10, Iss.2 pp. 175 - 195, - 2023
2022
• O. Prykhodko, K. Ralchenko "Strongly consistent estimation of all parameters in the Vasicek model by discrete observations". Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics & Mathematics, Vol.2022, Iss.4 pp. 26 - 30, - 2022
• Yu. Mishura, K. Ralchenko and R.L. Schilling "Analytical and computational problems related to fractional Gaussian noise". Fractal and Fractional. Vol. 6, no. 11:620, - 2022
• Yu. Mishura, K. Ralchenko, O. Dehtiar "Parameter estimation in CKLS model by continuous observations". Statistics & Probability Letters, Vol. 184, 109391, 10 pp., - 2022
• G. Di Nunno, Yu. Mishura, K. Ralchenko "Stochastic differential equations driven by additive Volterra–Lévy and Volterra–Gaussian noises". In: Malyarenko, A., Ni, Y., Rančić, M., Silvestrov, S. (eds) Stochastic Processes, Statistical Methods, and Engineering Mathematics. SPAS 2019. Springer Proceedings in Mathematics & Statistics, vol 408. Springer, Cham, pp. 277 - 323, - 2022
• A. Kukush, S. Lohvinenko, Y. Mishura, K. Ralchenko "Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend". Statistical Inference for Stochastic Processes, Vol.25, Iss.1 pp. 159 - 187, - 2022
• O. Dehtiar, Yu. Mishura, K. Ralchenko "Two methods of estimation of the drift parameters of the Cox-Ingersoll-Ross process: continuous observations". Communications in Statistics - Theory and Methods, Vol.51, Iss.19 pp. 6818 - 6833, - 2022
2021
• D. A. Avetisian, K. V. Ralchenko "Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation". Theory of Probability and Mathematical Statistics, Vol. 104, pp. 61 - 76, - 2021
• Yu. Mishura, K. Ralchenko, M. Zili, E. Zougar "Fractional stochastic heat equation with piecewise constant coefficients". Stochastics and Dynamics, Vol. 21, No. 1, 2150002 (39 pages), - 2021
2020
• D. Avetisian, K. Ralchenko "Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation". Modern Stochastics: Theory and Applications, Vol. 7(3), pp. 339 - 356, - 2020
• Y. Mishura, K. Ralchenko, S. Shklyar "General conditions of weak convergence of discrete-time multiplicative scheme to asset price with memory". Risks, Vol. 8(1), 11, - 2020
• Y. Mishura, K. Ralchenko, M. Zili "On mild and weak solutions for stochastic heat equations with piecewise-constant conductivity". Statistics and Probability Letters, Vol. 159, 108682, 9 pp., - 2020
2019
• S. Lohvinenko, K. Ralchenko "Maximum likelihood estimation in the non-ergodic fractional Vasicek model". Modern Stochastics: Theory and Applications, Vol. 6(3), pp. 377 - 395, - 2019
• Yu. Mishura, K. Ralchenko, G. Shevchenko "Existence and uniqueness of mild solution to stochastic heat equation with white and fractional noises". Theory of Probability and Mathematical Statistics, Vol. 98, pp. 149 - 170, - 2019
• K. Ralchenko, G. Shevchenko "Existence and uniqueness of mild solution to fractional stochastic heat equation". Modern Stochastics: Theory and Applications, Vol. 6(1), pp. 57 - 79, - 2019
• S. Lohvinenko, K. Ralchenko "Asymptotic distribution of the maximum likelihood estimator in the fractional Vasicek model". Theory of Probability and Mathematical Statistics, Vol. 99, pp. 149 - 168, - 2019
2018
• Yu. S. Mishura, V. I. Piterbarg, K. V. Ralchenko, A.Yu. Yurchenko-Tytarenko "Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process". Theory Probab. Math. Statist., Vol. 97, pp. 167 - 182, - 2018
• Y. Mishura, K. Ralchenko, S. Shklyar "Maximum likelihood estimation for Gaussian process with nonlinear drift". Nonlinear Anal. Model. Control, Vol. 23(1), pp. 120 - 140, - 2018
• M. Bel Hadj Khlifa, Yu. Mishura, K. Ralchenko, G. Shevchenko, M. Zili "Stochastic differential equations with generalized stochastic volatility and statistical estimators". Theory Probab. Math. Statist., Vol. 96, pp. 1 - 13, - 2018
• M. Dozzi, Y. Kozachenko, Y. Mishura, K. Ralchenko "Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation". Stat. Inference Stoch. Process., Vol. 21(1), pp. 21 - 52, - 2018
• Y. Mishura, K. Ralchenko, S. Shklyar "Parameter estimation for Gaussian processes with application to the model with two independent fractional Brownian motions". In Stochastic Processes and Applications, SPAS2017, Västerås and Stockholm, Sweden, October 4-6, 2017, Vol. 271 of Springer Proceedings in Mathematics & Statistics, Springer, Cham, pp. 123 - 146, - 2018
2017
• A. Kukush, Y. Mishura, K. Ralchenko "Hypothesis testing of the drift parameter sign for fractional Ornstein–Uhlenbeck process". Electron. J. Statist., Vol. 11(1), pp. 385 - 400, - 2017
• Yu. Mishura, K. Ralchenko "Drift parameter estimation in the models involving fractional Brownian motion". In Modern Problems of Stochastic Analysis and Statistics, Vol. 208 of Springer Proceedings in Mathematics & Statistics, Springer, Cham, pp. 237 - 268, - 2017
• Y. Mishura, K. Ralchenko, S. Shklyar "Maximum likelihood drift estimation for Gaussian process with stationary increments". Austrian J. Statist., Vol. 46(3-4), pp. 67 - 78, - 2017
• K. Kubilius, V. Skorniakov, K. Ralchenko "The rate of convergence of the Hurst index estimate for a stochastic differential equation". Nonlinear Anal. Model. Control, Vol. 22(2), pp. 273 - 284, - 2017
• S. Lohvinenko, K. Ralchenko "Maximum likelihood estimation in the fractional Vasicek model". Lithuanian J. Statist., Vol. 56(1), pp. 77 - 87, - 2017
2016
• M. Bel Hadj Khlifa, Y. Mishura, K. Ralchenko, M. Zili "Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility". Mod. Stoch. Theory Appl., Vol. 3(4), pp. 269 - 285, - 2016
• G. Di Nunno, Y. Mishura, K. Ralchenko "Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise". Fract. Calc. Appl. Anal., Vol. 19(6), pp. 1356 - 1392, - 2016
• S. Lohvinenko, K. Ralchenko, O. Zhuchenko "Asymptotic properties of parameter estimators in fractional Vasicek model". Lithuanian J. Statist., Vol. 55(1), pp. 102 - 111, - 2016
2015
• I.Molchanov, K. Ralchenko "A generalisation of the fractional Brownian field based on non-Euclidean norms". J. Math. Anal. Appl., Vol. 430(1), pp. 262 - 278, - 2015
• I. Molchanov, K. Ralchenko "Multifractional Poisson process, multistable subordinator and related limit theorems". Stat. Probab. Lett., Vol. 96, pp. 95 - 101, - 2015
• K. Ralchenko "Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model". Mod. Stoch. Theory Appl., Vol. 2(1), pp. 17 - 28, - 2015
• K. Kubilius, Y. Mishura, K. Ralchenko, O. Seleznjev "Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index H∊(0,1/2)". Electron. J. Statist., Vol. 9(2), pp. 1799 - 1825, - 2015
2014
• Y. Mishura, K. Ralchenko, O. Seleznev, G. Shevchenko "Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion". In Modern Stochastics and Applications, Volume 90 of Springer Optimization and Its Applications, pp. 303 - 318, - 2014
• Yu. Mishura, K. Ralchenko "On drift parameter estimation in models with fractional Brownian motion by discrete observations". Austrian J. Statist., Vol. 43(3-4), pp. 217 - 228, - 2014
2012
• K.V.Ralchenko, G.M.Shevchenko "Smooth approximations for fractional and multifractional fields". Random Oper. Stoch. Equ., Vol. 20(3), pp. 209 - 232, - 2012
2011
• K.V.Ralchenko, G.M.Shevchenko "Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations". Ukr. Math. J., Vol. 62(9), pp. 1460 - 1475, - 2011
• K.V.Ralchenko "Approximation of multifractional Brownian motion by absolutely continuous processes". Theory Probab. Math. Stat., Vol. 82, pp. 115 - 127, - 2011
• К. В. Ральченко "Наближення мультифрактальних процесiв i полiв абсолютно неперервними процесами". Доповіді НАН України, № 7, pp. 27 - 31, - 2011
2010
• K.V.Ralchenko, G.M.Shevchenko "Path properties of multifractal Brownian motion". Theory Probab. Math. Stat., Vol. 80, pp. 119 - 130, - 2010
2007
• K.V.Ralchenko "Two-parameter Garsia-Rodemich-Rumsey inequality and its application to fractional Brownian fields". Theory Probab. Math. Stat., Vol. 75, pp. 167 - 178, - 2007

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• Scopus, Web of Science
• MathSciNet, Zentralblatt MATH