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Department of Probability Theory,
Statistics
and Actuarial Mathematics

Mechanics and Mathematics
faculty

prob.stat.act@gmail.com
Tel/Fax: +38 (044) 431 04 67

   

Kostiantyn Ralchenko


Courses taught:

Course nameSpecialityYear of study
Probability TheoryStatistics Bachelor - 3
Mathematical models for life insuranceStatistics Master - 1
Mathematical foundations of life insuranceMathematics / Correspondence DepartmentMaster - 1
Mathematical foundations of life insuranceMathematics Master - 1
Approximate and asymptotic methods in statistics and actuarial mathematicsStatistics Master - 2
Actuarial models for reinsurance. Approximate calculations in financial mathematics Mathematics / Correspondence DepartmentMaster - 2
Actuarial models for reinsurance Mathematics Master - 2
Approximate and asymptotic methods in statistics and financial mathematicsStatistics Master - 2


Areas of research and interest:
  • Fractional and multifractional random processes and fields
  • Stochastic differential equations
  • Statistical inference for stochastic processes
Societies:
  • Member of International Statistical Institute
Profiles in scientific & bibliographic databases:

Conferences

  • Conf. Actual Problems of Stochastic Analysis dedicated to the 80th anniversary of Academician Sh. K. Formanov (February 20-21, 2021) , Tashkent, Uzbekistan (2021)
  • International Scientific Days on Stochastic & Fractional Calculus (April 5-6, 2021), Monastir, Tunisia (2021)
  • Int. Conf. Modern Stochastics: Theory and Applications V (June 1-4, 2021), Kyiv, Ukraine (2021)
  • 8th European Congress of Mathematics (20-26 June 2021), Portorož, Slovenia (2021)
  • Workshop A first bite of STORM (January 15, 2020), Oslo, Norway (2020)
  • Workshop Stochastic modelling on complex systems: First steps on the long road (July 2020), Napoli, Italy (2020)
  • The 9th Int. Conf. on Informatics and Computer Technics Problems (October 28-31, 2020), Chernivtsi, Ukraine (2020)
  • CSA2019 - Conference in Stochastic Analysis and Applications (August 25-30, 2019), Risør, Norway (2019)
  • Int. Conf. Modern Stochastics: Theory and Applications. IV (May 24-26, 2018), Kyiv, Ukraine (2018)
  • 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)
  • 61st ISI World Statistics Congress (July 16-21, 2017), Marrakech, Morocco (2017)
  • Int. Conf. on Differential Equations, Mathematical Physics and Applications (October 17-19, 2017), Cherkasy, Ukraine (2017)
  • 11th Int. Conf. Computer Data Analysis & Modeling 2016: Theoretical & Applied Stochastics (September 6-10, 2016), Minsk, Belarus (2016)
  • 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)
  • Int. Conf. Probability, Reliability and Stochastic Optimization (April 7-10, 2015), Kyiv, Ukraine (2015)
  • Workshop Statistique Asymptotique des Processus Stochastiques X (17-20 Mars 2015), Le Mans, France (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
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    • .., .., ... " i i i i i i i". ., -ii i, 23 p. - 2015
    • .., .., ... " ". ., -ii i, 366 p. - 2015
    • .., .., .., .., .., ... " i i i ". ., -ii i, 84 p. - 2014

  • Articles
    • 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
      • 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, - 2021
      • A. Kukush, Y. Mishura, S. Lohvinenko, K. Ralchenko "Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend". Statistical Inference for Stochastic Processes, - 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
      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
      • 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
      • 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
      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
      • 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 "Maximum likelihood estimation in the non-ergodic fractional Vasicek model". Modern Stochastics: Theory and Applications, Vol. 6(3), pp. 377 - 395, - 2019
      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
      • 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
      • 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
      • Yu. S. Mishura, V. I. Piterbarg, K. V. Ralchenko, A.Yu. Yurchenko-Tytarenko "Stochastic representation and path properties of a fractional CoxIngersollRoss process". Theory Probab. Math. Statist., Vol. 97, pp. 167 - 182, - 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 OrnsteinUhlenbeck process". Electron. J. Statist., Vol. 11(1), pp. 385 - 400, - 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
      • 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
      • 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
      • S. Lohvinenko, K. Ralchenko "Maximum likelihood estimation in the fractional Vasicek model". Lithuanian J. Statist., Vol. 56(1), pp. 77 - 87, - 2017
      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
      • 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
      • 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
      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
      • 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
      • 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
      • 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
      • 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
      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
      • . . " i i i ". , 7, pp. 27 - 31, - 2011
      • K.V.Ralchenko "Approximation of multifractional Brownian motion by absolutely continuous processes". Theory Probab. Math. Stat., Vol. 82, pp. 115 - 127, - 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
      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

    First name: Kostiantyn
    Surname: Ralchenko
    Date of birth: 05.03.1984
    Place of birth: Cherkasy
    Citizenship: Ukraine
    Address:
    Department of Probability Theory, Statistics and Actuarial Mathematics,
    Taras Shevchenko National University of Kyiv,
    Volodymyrska 64/13, Kyiv 01601, Ukraine
    E-mail: kostiantynralchenko@knu.ua
    Tel: (+380-44) 431-04-67
    Fax: (+380-44) 431-04-67
    Current position:
    Associate Professor of the Department of Probability Theory, Statistics and Actuarial Mathematics