Georgiy Shevchenko

• 09/1996-09/2000 Undergraduate Studies in Mathematics at Kyiv National Taras Shevchenko University, Ukraine
  
• 09/2000-09/2002 M.Sc. in Mathematics at Kyiv National Taras Shevchenko University
  Specialization: Probability Theory, Mathematical Statistics
  Thesis: Generalized diffusion processes;
  Supervisor: Prof. Dr. M. I. Portenko
  
• 10/2002-12/2005 Ph.D. in Mathematics at Kyiv National Taras Shevchenko University
  Specialization: Probability Theory, Mathematical Statistics
  Thesis: Some properties of stochastic differential equations in Hilbert spaces;
  Supervisor: Prof. Dr. Yu. S. Mishura
  
• 09/2014 D.Sc in Mathematics
  Specialization: Probability Theory, Mathematical Statistics
  Thesis: Stochastic analysis for fractional and multifractional processes in models with long memory
  

• 09/2001-08/2002 Institute of Mathematics of National Academy of Sciences of Ukraine, junior scientific researcher
  
• 10/2003-06/2008 Kyiv University, Assistant Professor
  
• 06/2008-09/2010 Kyiv University, Associate Professor
  
• 09/2010-09/2013 Kyiv University, Post-Doc Researcher
  
• 09/2013-06/2016 Kyiv University, Associate Professor
  
• Since 07/2016 Kyiv University, Professor
  

• Stochastic analysis
  
• Stochastic differential equations
  
• Fractional Brownian motion
  
• Fractional and multifractional processes
  
• Financial mathematics
  
• Statistics of random processes and fields
  
• arXiv.org 
  
• Non-scientific interests:
  - Bridge (sports)
  - Bouldering (climbing)
  

• 4 students obtained Ph.D., 10 students obtained M.Sc.
  
• Member of editorial board of Modern Stochastics: Theory and Applications
  
• Research visits:
  
• 2004,2005 Institute of Mathematics, Humboldt Univesity of Berlin, Germany
  
• 2010 Cardiff University, Great Britain
  
• 2010,2011,2012 Elie Cartan Mathematics Institute of Nancy University, France
  
• 2011 Aalto University, Finland
  
• 2013,2014,2015 Institute of Stochastics, Ulm University, Germany
  
• 
  

• 1997,1998,1999,2000 First Prize of Ukrainian Mathematical Olympiad for University Students
  
• 1999 First Prize of International Mathematical Competition for University Students, Keszthei, Hungary
  
• 2000 Grand First Prize of International Mathematical Competition for University Students, London, UK
  
• 2008 National Academy of Sciences Prize for Young Scientists
  
• 2012 President's Prize for Young Scientists
  

Conferences

• 4h Conference on Ambit Fields and Related Topics, Sønderborg, Denmark (2019)
  Title of the talk: Limit theorems for additive functionals of continuous-time random walk
• Workshop “Financial Econometrics and Statistics”, Astana, Kazakhstan (2019)
• 12th International Vilnius Conference on Probability Theory and Mathematical Statistics and 2018 IMS Annual Meeting on Probability and Statistics, Vilnius, Lithuania (2018)
• Stochastic Models VI, Bedlewo, Poland (2018)
• Modern Stochastics: Theory and Applications IV, Kyiv, Ukraine (2018)
• Differential Equations, Mathematical Physics and Applications, Cherkassy, Ukraine (2017)
• Workshop on Fractality and Fractionality, Leiden, Netherlands (2016)
• Stochastic Analysis, Controlled Dynamical Systems and Applications, Jena, Germany (2015)
• 3rd Workshop on Analysis, Geometry and Probability, Ulm, Germany (2015)
• Probability, Reliability and Stochastic Optimization, Kyiv, Ukraine (2015)
• Analysis of Fractional Stochastic Processes: Advances and Applications, Jagna, Philippines (2014)
• Stochastic calculus, Martingales, and Financial modeling, St. Petersburg, Russia (2014)
• 11th German Statistics and Probability Days, Ulm, Germany (2014)
• Infinite Dimensional Stochastic Systems: Theory and Applications, Wittenberg, Germany (2014)
• Mathematics in Armenia: Advances and Perspectives, Tsaghkadzor, Armenia (2013)
• Fusion of Knowledge in Modeling of Large Stochastic Systems, Bielefeld, Germany (2013)
• Stochastic and Infinite Dimensional Analysis, Bielefeld, Germany (2013)
• Asymptotical Statistics of Stochastic Processes IX, Le Mans, France (2013)
• Topical Problems of Financial Mathematics, St. Petersburg, Russia (2013)
• Modern Stochastics: Theory and Applications III, Kyiv, Ukraine (2012)
• Modern Trends in Probability Theory and Mathematical Statistics II, Kyiv, Ukraine (2012)
• Stochastic Models in Finance and Insurance, Jena, Germany (2011)
• Modern Stochastics: Theory and Applications II, Kyiv, Ukraine (2010)
• Stochastic Processes and Their Applications, Berlin, Germany (2009)
• Stochastic Analysis and Random Dynamics, Chernivtsi, Ukraine (2009)
• Self-Similar Processes and Their Applications, Angers, France (2009)
• Cologne Workshop on Actuarial Mathematics, Cologne, Germany (2008)
• International School on Finance, Insurance & Energy Markets, Vasteras, Sweden (2008)
• Topical problems of probability theory and related areas, Uman, Ukraine (2008)
• Insurance and Finance: Science, Practice and Education, Foros, Ukraine (2008)
• Advanced Research Workshop on Financial Mathematics: Methods and Applications, Gdansk, Poland (2008)
• 5th Conference on Actuarial Science and Finance on Samos, Karlovassi, Greece (2008)

Publications

Textbooks and tutorials

• Yu. Mishura, G. Shevchenko "Stochastic Processes: Theory and Statistical Applications". Wiley-ISTE, 400 p. - 2019
• Ю. С. Мішура, К. В. Ральченко, Л. М. Сахно, Г.М. Шевченко "Випадкові процеси. Теорія. Статистика. Застосування". ВПЦ "Київський університет", - 2019
• Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "Завдання третього етапу LIII Всеукраїнської учнівської олімпіади з математики". , 53 p. - 2013
• Г.Шевченко,Кочубінська Є.А. "Рівняння Баше і арифметика точок кривої Баше". , 1 p. - 2013
• Г.Шевченко, Мишура Ю.С. "Про невласнi iнтеграли i асимптотичну поведiнку розв’язкiв диференцiальних рiвнянь". , 18 p. - 2013
• Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "Завдання третього етапу LIII Всеукраїнської учнівської олімпіади з математики". , 3 p. - 2013
• Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "Завдання IV етапу LIII Всеукраїнської учнівської олімпіади з математики". , 3 p. - 2013
• Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "Обласні олімпіади з математики 2012 р.". , 61 p. - 2012
• Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "Обласні математичні олімпіади - 2012". Математика. Шкільний світ, № 13, 13 p. - 2012
• Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "LII Всеукраїнська учнівська олімпіада з математики". Математика в школі, № 6, 2012, 40 p. - 2012
• Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "LII Всеукраїнська учнівська олімпіада з математики". Математика в сучасній школі, № 7/8, , 48 p. - 2012
• Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "Завдання LII Всеукраїнської учнівської олімпіади з математики". , 58 p. - 2012
• Г.Шевченко "LIII Міжнародна математична олімпіада". , 61 p. - 2012
• Мішура Ю.С., Шевченко Г.М. "Математика фінансів". , 350 p. - 2011
• Yu. Mishura, G. Shevchenko "Mathematics of Finance". IPC "Kyiv University", 352 p. - 2009
• O. Borisenko, V. Radchenko, Yu. Mishura, G. Shevchenko "Collected problems in financial mathematics, 2nd ed". IPC "Kyiv University", 256 p. - 2008
• O. Vasylyk, M. Kartashov, G. Shevchenko, R. Yamnenko "Probability theory: instructional guidelines for labs and practicals". IPC "Kyiv University", 60 p. - 2008
• O. Borisenko, V. Radchenko, Yu. Mishura, G. Shevchenko "Collected problems in financial mathematics". IPC "Kyiv University", 252 p. - 2007
• O. Borisenko, V. Radchenko, Yu. Mishura, G. Shevchenko "Collected problems in financial mathematics". Tekhnika, 256 p. - 2007

Articles

2020
• I. Pavlyukevich, G. Shevchenko "Stratonovich SDE with irregular coefficients: Girsanov example revisited.". Bernoulli, - 2020
• E. Hashorva, Yu. Mishura, G. Shevchenko. "Boundary Non-crossing Probabilities of Gaussian Processes: Sharp Bounds and Asymptotics". Journal of Theoretical Probability, - 2020
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, Iss. pp. 142 - 163, - 2019
• K. Ralchenko, G. Shevchenko "Existence and uniqueness of mild solution to fractional stochastic heat equation.". Modern Stochastics: Theory and Applications, Vol.6, Iss.1 pp. 57 - 79, - 2019
2018
• E. Boguslavskaya, Yu. Mishura, G. Shevchenko "Replication of Wiener-transformable stochastic processes with application to nancial markets with memory". In Sergei Silvestrov, Malyarenko Anatoliy, and Rancic Milica, editors, Stochastic Processes and Applications: SPAS2017, Vasteras and Stockholm, Sweden, October 4-6, 2017, pp. 335 - 362, - 2018
• M. Bel Hadj Khlifa, Yu. Mishura, K. Ralchenko, G. Shevchenko, and M. Zili "Stochastic differential equations with generalized stochastic volatility and statistical estimators.". Theory of Probability and Mathematical Statistics, Vol.96, Iss. pp. 1 - 13, - 2018
• Л. Пригара, Г. Шевченко "Рівняння коливань однорідної струни із закріпленими кінцями, вимушених випадковим стійким шумом". Теорія ймовірностей та математична статистика, Vol.98, Iss. pp. 163 - 172, - 2018
• V. Boldyreva, G. Shevchenko "On the Continuous Dependence of Non-Ruin Probability on Claim Distribution Function in the Classical Risk Model". Cybernetics and Systems Analysis, Vol.54, Iss.2 pp. 242 - 248, - 2018
2017
• L. Pryhara, G. Shevchenko "Wave equation with a coloured stable noise". Random Operators and Stochastic Equations , Vol.25, Iss.4 pp. 249 - 260, - 2017
• A. Iksanov, Z. Kabluchko, A. Marynych, G. Shevchenko "Fractionally integrated inverse stable subordinators". Stochastic Processes and their Applications, Vol.127, Iss.1 pp. 80 - 106, - 2017
• Yu. Mishura, G. Shevchenko "Small ball properties and representation results". Stochastic Processes and their Applications, Vol.127, Iss.1 pp. 20 - 36, - 2017
2016
• I. Bodnarchuk, G. Shevchenko "Heat equation in a multidimensional domain with a general stochastic measure". Theory of Probability and Mathematical Statistics, - 2016
• L. Pryhara, G. Shevchenko "Stochastic wave equation in a plane driven by spatial stable noise". Modern Stochastics: Theory and Applications, Vol.3, Iss.3 pp. 237 - 248, - 2016
• L. Pryhara, G. Shevchenko "Approximations for a solution to stochastic heat equation with stable noise". Modern Stochastics: Theory and Applications, Vol.3, Iss.2 pp. 133 - 144, - 2016
• T. Shalaiko, G. Shevchenko "Existence of density for solutions of mixed stochastic equations.". Stochastic and Infinite Dimensional Analysis (Editors: Ch. Bernido, M. Carpio-Bernido, M. Grothaus, T. Kuna, Maria João Oliveira, José Luís da Silva), pp. 281 - 300, - 2016
2015
• M. Dozzi, Yu. Mishura, G. Shevchenko "Asymptotic behavior of mixed power variations and statistical estimation in mixed models". Statistical Inference for Stochastic Processes, Vol.18, Iss.2 pp. 151 - 175, - 2015
• Shevchenko G., Viitasaari L. "Adapted integral representations of random variables". Int. J. Mod. Phys. Conf. Ser, Vol.36, Iss. - 2015
• Melnikov A., Mishura Yu., Shevchenko G. "Stochastic viability and comparison theorems for mixed stochastic differential equations". Methodol. Comput. Appl. Probab., Vol.17, Iss.1 pp. 169 - 188, - 2015
• Mishura Yu., Shalaiko T., Shevchenko G. "Convergence of solutions of mixed stochastic delay differential equations with applications". Appl. Math. Comput. , Vol.257, Iss. pp. 487 - 297, - 2015
2014
• Shevchenko G., Viitasaari L. "Integral Representation with Adapted Continuous Integrand with Respect to Fractional Brownian Motion ". Stoch. Anal. Appl., Vol.32, Iss.6 pp. 934 - 943, - 2014
• Shklyar S., Shevchenko G., Mishura Yu., Doroshenko V., Banna O "Approximation of fractional Brownian motion by martingales". Methodol. Comput. Appl. Probab., Vol.16, Iss.3 pp. 539 - 560, - 2014
• G. Shevchenko, Yu. Mishura, K. Ralchenko, O. Seleznev "Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion". Modern Stochastics and Applications Springer Optimization and Its Applications V. 90, pp. 303 - 318, - 2014
• G.Shevchenko "Mixed fractional stochastic differential equations with jumps". Stochastics: An International Journal of Probability and Stochastic Processes, V. 86,, pp. 203 - 217, - 2014
2013
• Г.Шевченко, Перестюк М.О. Мішура Ю.С. "Про розподіл локального часу однорідного дифузійного процесу". Доповіді НАН України. Серія Математика. № 10, pp. 29 - 35, - 2013
• G.Shevchenko "Mixed stochastic delay differential equations". Теорія ймовірностей і математична статистика, № 89, pp. 169 - 182, - 2013
• Г.Шевченко "Інтегрованість розв'язків змішаних стохастичних диференціальних рівнянь". Український математичний вісник, Т. 10, № 4, pp. 559 - 574, - 2013
• G.Shevchenko "Local times for multifractional square Gaussian processes". Вісник Київського університету. Серія: фізико-математичні науки, № 4, pp. 27 - 31, - 2013
• G.Shevchenko,Shalaiko T.O. "Malliavin regularity of solutions to mixed stochastic differential equations". Statistics and Probability Letters, V. 83, no. 12, pp. 2638 - 2646, - 2013
2012
• G.Shevchenko,Ralchenko K.V. "Smooth approximations for fractional and multifractional fields". Random Operators and Stochastic Equations, V. 20, no. 3, , pp. 209 - 232, - 2012
• G.Shevchenko,Mishura Yu.S. "Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions". Сomputers and Mathematics with Applications, V. 64, no. 10, pp. 3217 - 3227, - 2012
• G.Shevchenko,Mishura Yu.S. Valkeila E. "Random variables as pathwise integrals with respect to fractional Brownian motion". Stochastic Processes and Their Applications, V. 123, no. 6, pp. 2353 - 2369, - 2012
2011
• Dozzi, M., Shevchenko, G. "Real harmonizable multifractional stable process and its local properties". Stoch. Proc. Appl, Volume 121, Issue 7, pp. 1509 - 1523, - 2011
• Y. Mishura, G. Shevchenko "Existence and uniqueness of solution of stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index H є (1/2,1)". Communications in Statistics Theory and Methods. V.40, № 19-20, pp. 3492 - 3508, - 2011
• А. Мороз, Г. Шевченко "Структура області зупинки в моделі Леві". Теорія ймовірностей та математична статистика, вип. 84, pp. 102 - 110, - 2011
• Y. Mishura, G. Shevchenko "The rate of convergence of Euler scheme to the solution of mixed stochastic differential equation involving Brownian and fractional Brownian motions". Random Operators and Stochastic Equations, v.19, №4, - 2011
• Г.М. Шевченко "Локальні властивості мультидробового стійкого поля". Теорія ймовірностей та математична статистика. Випуск 85, - 2011
2010
• Шевченко Г.М. "Властивості траєкторій мультидробового процесу Розенблата". Теорія ймовірн. та математична статистика, Вип. 83, - 2010
• Шевченко Г.М. "Про сталу, пов'язану з опціонами Американського типу". Теорія ймовірн. та математична статистика, Вип. 82 , - 2010
2009
• Yu. Mishura, G. Shevchenko, Yu. Yukhnovsky "Functional limits theorems for stochastic integrals with applications to risk processes and to self-finacing strategies capitals on multidimensional market. I". Teor. Imovir. Mat. Stat., no. 81, pp. 114 - 127, - 2009
• K. Ralchenko, G. Shevchenko "Path properties of the multifractional Brownian motion". Teor. Imovir. Mat. Stat., no. 80, pp. 106 - 116, - 2009
• G. Shevchenko, A. Moroz "Optimal stopping problem for processes with independent increments". Ukr. Math. Bulletin 6, no. 1, pp. 121 - 129, - 2009
• G. Shevchenko "Arbitrage in a model with a proportional tax on the portfolio value". Teor. Imovir. Mat. Stat., no. 81, pp. 155 - 163, - 2009
• Yu. Mishura, G. Shevchenko "The optimal time to exchange one asset for another on finite interval". In: Delbaen, Freddy (ed.) et al., Optimality and Risk - Modern Trends in Mathematical Finance, The Kabanov Festschrift., pp. 197 - 210, - 2009
2008
• G. Shevchenko "On a generalization of Milstein's theorem". Teor. Imovir. Mat. Stat., no. 78, pp. 175 - 183, - 2008
• Yu. Mishura, G. Shevchenko "Approximate solutions to anticipative stochastic differential equations". Stat. Probab. Lett. 78, No. 1, pp. 60 - 66, - 2008
• O. Soloveiko, G. Shevchenko "On the rate of convergence of prices of barrier options with discrete and continuous time ". Teor. Imovir. Mat. Stat., no. 79, pp. 155 - 161, - 2008
• Yu. Mishura, S. Posashkova, G. Shevchenko "Properties of solutions to stochastic differential equations with inhomogeneous coefficients and non-Lipschitz diffusion". Teor. Imovir. Mat. Stat., no. 79, pp. 105 - 113, - 2008
• Yu. Mishura, G. Shevchenko "The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion". Stochastics 80, pp. 489 - 511, - 2008
• O. Soloveiko, G. Shevchenko "On the rate of convergence of barrier option prices in binomial market model to those in continuous market model". Theory Stoch. Proc. 14(30), no. 3-4, pp. 165 - 173, - 2008
2007
• Yu. Mishura, G. Shevchenko "Approximation schemes for stochastic differential equations in Hilbert space". Theory Probab. Appl. 51, no. 3, pp. 476 - 495, - 2007
• Yu. Mishura, G. Shevchenko "On differentiability of solution to stochastic differential equation with fractional Brownian motion". Theory Stoch. Proc. 13(29), no. 1-2, pp. 243 - 250, - 2007
• Yu. Mishura, G. Shevchenko "Approximate Solution of Stochastic Differential Equations: Monograph". , - 2007
• Yu. Mishura, P. Shelyazhenko, G. Shevchenko "Bounded arbitrage for multi-period model of financial market with discrete time". Teor. Imovir. Mat. Stat., no. 77, pp. 122 - 132, - 2007
2006
• A. Kukush, Yu. Mishura, G. Shevchenko "On reselling of European option". Theory Stoch. Proc. 12(28), no. 1-2, pp. 75 - 87, - 2006
2005
• G. Shevchenko "Euler approximation for anticipating stochastic quasilinear differential equation". Teor. Imovir. Mat. Stat., no. 72, pp. 150 - 157, - 2005
• G. Shevchenko "Approximate integration of stochastic differential equations in a Hilbert space". Dopov. Nats. Akad. Nauk Ukr. Mat. Prirodozn. Tekh. Nauky, no. 1, pp. 39 - 46, - 2005
2004
• Yu. S. Mishura; H. M. Shevchenko "Euler Approximations of Solutions of Abstract Equations and Their Applications in the Theory of Semigroups". Ukrainian Mathematical Journal, pp. 489 - 503, - 2004
• Yu. Mishura, G. Shevchenko " Linear equations and stochastic exponentials in a Hilbert space". Teor. Imovir. Mat. Stat., no. 71, pp. 123 - 132, - 2004
2003
• G. Shevchenko "On multidimensional generalized diffusion processes". Ukrainian Math. J. 55, no. 9, pp. 1291 - 1296, - 2003
• G. Shevchenko "Rate of convergence of discrete approximations of solutions to stochastic differential equations in a Hilbert space". Teor. Imovir. Mat. Stat., no. 69, pp. 172 - 183, - 2003
2002
• G. Shevchenko "On a generalized diffusion process with a drift that is the generalized derivative of a singular function". Proceedings of Ukrainian Mathematical Congress-2001, pp. 139 - 148, - 2002
2001
• G. Shevchenko "On the distribution of the sojourn times of a Brownian motion process on a pencil of rays". Teor. Imovir. Mat. Stat., no. 63, pp. 145 - 155, - 2001

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