Alexander A. Gushchin

Supervisor of the following Doctoral theses

• 1
  D. Borzykh Joint distributions of generalized integrable increasing processes and their generalized compensators, 2022

Editorial board membership

Conferences

• 2020

  The 14th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus (Métabief). Presentation: Single jump filtrations and local martingales

• 2019

  The 13th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus (Метабьеф). Presentation: The joint law of the maximum and terminal value of a max-continuous local submartingale

• Stochastic Models II (Санкт-Петербург). Presentation: The joint law of the maximum and terminal value of a max-continuous local submartingale

• Четвертая международная конференция по стохастическим методам (Геленджик, пос. Дивноморское). Presentation: The joint law of the maximum and terminal value of a max-continuous local submartingale

• Recent Advances in Mass Transportation (Moscow). Presentation: On constructions of stochastic processes with given terminal distribution

• Зимний коллоквиум ЛСА - 2019 (Снегири, Московская обл.). Presentation: Single jump filtrations and local martingales

• 2018

  Третья международная конференция по стохастическим методам (Геленджик). Presentation: Joint distributions of increasing processes and their compensators, single jump martingales, and the Skorokhod embedding

• Современные методы и проблемы теории операторов и гармонического анализа и их приложения VIII (Ростов-на-Дону). Presentation: Single jump martingales and the Skorokhod embedding

• The 12th Bachelier Colloquium in Stochastic Calculus and Mathematical Finance (Metabief). Presentation: On the Chacon-Walsh construction in the Skorokhod Embedding Problem

• 12th International Vilnius Conference on Probability Theory and Mathematical Statistics and 2018 IMS Annual Meeting on Probability and Statistics (Вильнюс). Presentation: Single jump martingales and the Skorokhod embedding problem, with applications in finance

• Advanced Methods in Mathematical Finance (Angers). Presentation: The Skorokhod embedding problem and single jump martingales : a connection via change of time

• Innovative Research in Mathematical Finance (Marseille). Presentation: The joint distributions of terminal values of increasing processes and their compensators

• Stochastic Models I (Lausanne). Presentation: The Skorokhod embedding problem and single jump martingales

• Wasserstein calculus and related topics: 1st Moscow - UK workshop on stochastic analysis (Эдинбург). Presentation: The joint distributions of an increasing process and its compensator

• Зимний коллоквиум ЛСА - 2018 (Снегири, Московская обл.). Presentation: The Skorokhod embedding problem and single jump martingales

• 2017

  The 11th Bachelier Colloquium in Stochastic Calculus and Mathematical Finance, Metabief (Metabief). Presentation: The joint law of the terminal values of a nonnegative submartingale and its compensator

• 2016

  The 10th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus (Metabief). Presentation: The joint law of the terminal values of an increasing process and its compensator

• Monash Probability Conference in Honor of Robert Liptser's 80th Birthday (Prato). Presentation: The joint law of the terminal values of an increasing process and its compensator

• 2015

  The 9th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus (Metabief). Presentation: A remark on exponential utility maximization in exponential Lévy models

• Asymptotical Statistics of Stochastic Processes X (Le Mans). Presentation: Continuity of stationary solutions of delay differential equations driven by Lévy processes

• Школа по стохастике и финансовой математике-ITIS 2015' (Сочи). Presentation: On some aspects of the utility maximization problem

• Workshop New Trends in Stochastic Analysis and New Trends in statistical analysis of time series (Снегири). Presentation: The joint distribution of the terminal values of an integrable increasing process and its compensator

• Современные методы и проблемы теории операторов и гармонического анализа и их приложения V (Ростов-на-Дону). Presentation: О вложении процессов в броуновское и в геометрическое броуновское движение

• 2014

  The 8th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus (Métabief). Presentation: A characterization of minimax tests with applications to efficient partial hedging

• XV Международная научная конференция по проблемам развития экономики и общества. Presentation: О верхней цене хеджирования неотрицательных платежных обязательств

• International conference «Stochastic calculus, Martingales and Financial Modeling» (Пушкин). Presentation: On embedding of processes

• Statistics meets stochastics (Москва). Presentation: On stationary solutions of delay dierential equations driven by Levy processes