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Кафедра теорії ймовірностей,
статистики
та актуарної математики

Механіко-математичний
факультет

prob.stat.act@gmail.com, probability@univ.kiev.ua
Tel/Fax: +38 (044) 259 03 92

   

Юлія Степанівна Мішура


Курси, що викладає:

Назва курсуСпеціальністьРік навчання
Теорія випадкових процесівМатематика Бакалавр - 4
Стохастичний аналізСтатистика Математика Бакалавр - 4
Науковий семінарМатематика Бакалавр - 4
Статистика випадкових процесівАктуарна та фінансова математика / Заочне відділенняМагістр - 1
Науковий семінар з актуарної та фінансової математикиАктуарна та фінансова математика Магістр - 2


Освіта:
  • Доктор фізико-математичних наук (1990, Інститут математики, Київ, Україна)
  • Кандидат фізико-математичних наук (1978, Київський державний університет імені Тараса Шевченка).
    Спеціальність: теорія ймовірностей і математична статистика.
Область досліджень і наукові інтереси:
  • Стохастичне числення дробового броунівського руху
  • Фінансова математика
  • Теорія багатопараметричних випадкових процесів
  • Функціональні граничні теореми для випадкових полів
  • Мартингали та пов'язані з ними процеси, стохастичне інтегрування
  • Задачі оптимальної зупинки
  • Статистика випадкових процесів з довгостроковою залежністю
Інша діяльність:
  • Головний редактор журналу "Modern Stochastics: Theory and Applications" разом з професором К.Кубілюсом (Вільнюський університет), заступник головного редактора журналу "Теорія ймовірностей і математична статистика", член редколегії журналів "Вісник Київського університету. Серія математика та механіка", "Fractional Differential Calculus", "Lithuanian Journal of Statistics", "Прикладна статистика. Актуарна та фінансова математика"
  • 16 осіб захистили кандидатську дисертацію
Участь у товариствах:
  • Член Американського математичного товариства, Європейського математичного товариства, Міжнародного статистичного інституту
Ґранти:
  • Grant PST.CLG.980408 “Fractional Calculus and Related Stochastic Processes and Equations”,2003-2005.
  • TEMPUS-TACIS IB-JEP-25054-2004 “Educational Courses for Actuaries and Financial Analysists”, 2004-2008.
  • Research European project Multifractionality , Grant Agreement N. 230804, “Multi-parameter Multi-fractional Brownian Motion ”, International Research Staff Exchange (IRSES), 2009-2012.
  • Grant of Aalto University, Finland, 2011, for visiting professorship.
  • Grant of Umea University, Sweden, 2012-2015, for visiting professorship.
  • Grant of Nancy University, France, 2012-2015, for visiting professorship and research work.
  • Grant of University of Edmonton, Canada, 2009-2015, for research work.
  • Grant of the University of Lasanne, Switzerland, 2013-2015, for research work.
Нагороди, премії:
  • Премія НАН України імені М.М. Крилова, 2013 рік

Публікації

  • Monographs
    • Mishura, Yuliya "Stochastic calculus for fractional Brownian motion and related processes". Lecture Notes in Mathematics 1929. Berlin: Springer (ISBN 978-3-540-75872-3/pbk), 393 p. - 2008
    • Y. Mishura, G. Shevchenko "Approximation solution to stochastic differential eqautions in infinite-dimensional space". Kyiv University press, 98 p. - 2007

  • Textbooks and tutorials
    • Gusak, D.; Kukush, A.; Kulik, A.; Mishura, Y.; Pilipenko "Theory of stochastic processes. With applications to financial mathematics and risk theory". Problem Books in Mathematics. New York, NY: Springer (ISBN 978-0-387-87861-4), 380 p. - 2010 Зовнішнє посилання
    • Y. Mishura, G. Shevchenko "Mathematics of finances". Kyiv University press, 352 p. - 2009
    • O. Borisenko, Y. Mishura, V. Radchenko, G. M. Shevchenko "The collection of problems in financial mathematics". Kyiv University press, 250 p. - 2007
    • O. Konstantinov, Y. Mishura, O. Nesterenko, A. Chajkovskij "The collection of problems in functional analysis". Kyiv University press, 150 p. - 2004

  • Articles
    • 2015
      • Melnikov, A., Mishura, Y., Shevchenko, G. "Stochastic Viability and Comparison Theorems for Mixed Stochastic Differential Equations". Methodology and Computing in Applied Probability, - 2015 Зовнішнє посилання
      • Hashorva, E., Mishura, Y., Seleznev, O. "Boundary non-crossing probabilities for fractional Brownian motion with trend". in press, - 2015
      2014
      • Shklyar, S., Shevchenko, G., Mishura, Y., Doroshenko, V., Banna, O. "Approximation of Fractional Brownian Motion by Martingales". Methodology and Computing in Applied Probability, Vol.16, Iss.3 pp. 539 - 560, - 2014 Зовнішнє посилання
      • Mishura, Y. , Shevchenko, G., Dozzi, M. "Statistical estimation by power variations in the mixed models". Statistical Inference for Stochastic Processes, - 2014 Зовнішнє посилання
      • E. Hashorva, Yu. Mishura "Boundary noncrossings of additive Wiener fields". Lithuanian Mathematical Journal, Vol.54, Iss.3 pp. 277 - 289, - 2014
      • Mishura, Y. "Standard maximum likelihood drift parameter estimator in homogeneous diffusion model is always strongly consistent ". Statistics and Probability Letters, Vol.86, Iss.1 pp. 24 - 29, - 2014
      • Kozachenko Y., Melnikov A., Mishura Y. "On drift parameter estimation in models with fractional Brownian motion ". Statistics, pp. 1 - 28, - 2014
      • Mishura, Y., Ral’chenko, K., Seleznev, O., Shevchenko, G. "Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion. ". In: Modern Stochastics and Applications , pp. 303 - 318, - 2014
      • Mishura Y., Ralchenko K. "On Drift Parameter Estimation in Models with Fractional Brownian Motion by Discrete Observations ". Austrian Journal of Statistics., Vol.43, Iss.3 pp. 218 - 228, - 2014
      • Yu. Mishura, G. Rizhniak, V. Zubchenko "European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process". Modern Stochastics: Theory and Applications, Vol.1, Iss.1 pp. 95 - 108, - 2014
      • O. Banna, Yu. Mishura, S. Shklyar "Approximation of Wiener process by integrals from power functions with the fixed power w.r.t. fractional Brownian motion". Teor. ˘Imovir. ta Matem. Statyst., pp. 13 - 21, - 2014
      • G. Kulinich, S. Kushnirenko, Yu. Mishura "Asymptotic behavior of integral functionals of martingale type from non-stable solutions of stochastic differential equations". Teor. ˘Imovir. ta Matem. Statyst. , pp. 102 - 112, - 2014
      • V. Makogin, Yu. Mishura "Strong limit theorems for anisotropic self-similar fields". Modern Stochastics: Theory and Applications, Vol.1, Iss.1 pp. 75 - 93, - 2014
      2013
      • Mishura, Y., Shevchenko, G., Valkeila, E. "Random variables as pathwise integrals w.r.t. fBm". Stochastic Processes and Applications, v. 123, pp. 2353 - 2369, - 2013 Зовнішнє посилання
      • Mishura, Y., Tomashyk, V. "Convergence of exit times of diffusion process from some strip". Teor. Probab. Mat. Stat. № 88, pp. 83 - 95, - 2013
      • Mishura, Y., Tomashyk, V. "Optimal stopping time problem for random walks with polynomial reward functions". Theor. Probability and Math. Statist. V. 86, - 2013
      • Y. Mishura, G. Ryzhnjak "Objective call option price behavior of the bond with interest rate driven by geometric fractional Ornstein-Uhlenbeck process As a function of Hurst index". Bulletin of Taras Shevchenko National University of Kyiv, - 2013
      2012
      • Y. Mishura, Y. Yukhnovskij "The limit behaviour of the price of barrier option in the Black-Scholes model with random coefficients". Teor. Probab. Mat. Stat. № 84, pp. 99 - 106, - 2012 Зовнішнє посилання
      • Mishura, Y., Schmidli, H.P. "Dividend barrier strategies in a renewal risk model with generalized Erlang interarrival times". North American Actuarial Journal, v.16, No. 4, pp. 493 - 512, - 2012 Зовнішнє посилання
      • Kubilius, K.; Mishura, Y. "The rate of convergence of Hurst index estimate for the stochastic differential equation". Stochastic Processes Appl. 122, No. 11, pp. 3718 - 3739, - 2012 Зовнішнє посилання
      • Mishura, Y., Doroshenko, V., Banna, O. "The distance of fractional Broenian motion to the subspace of martingale with “similar” kernels". Teor. Probab. Mat. Stat. № 87, pp. 43 - 55, - 2012
      • Bratyk, M.V., Kozachenko, Yu.V., Mishura, Yu.S. "Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence". Theor. Probability and Math. Statist. 84, pp. 15 - 31, - 2012 Зовнішнє посилання
      2011
      • Y. Mishura, S. Posashkova "The rate of convergence of Euler scheme applied to the solution of stochastic differential equation with nonhomogeneous coefficients and non-Lipschitz diffusion ". Random Operators and Stochastic Equations, V. 19, № 1, pp. 63 - 89, - 2011 Зовнішнє посилання
      • Y. Mishura, V. Zubchenko "The rate of convergence of Euler scheme applied to the solution of stochastic differential equation with non-Lipschitz diffusion and Poisson measure". Ukrainian Math. Journal, v.63, N 1, pp. 40 - 60, - 2011 Зовнішнє посилання
      • Y. Mishura, S. Posashkov, S. Posashkova "Continuous dependence of solutions of stochastic differential equations driven by standard and fractional Brownian motion on a parameter". Teor. Probab. Mat. Stat. № 83, pp. 111 - 126, - 2011 Зовнішнє посилання
      • Y. Mishura, S. Posashkova "Stochastic differential equations driven by Wiener process and fractional Brownian motion: convergence in Besov space w.r.t. a parameter". Computers and Mathematics with Applications, v. 62, N 3, pp. 1166 - 1180, - 2011 Зовнішнє посилання
      • Y. Mishura, G. Shevchenko "Existence and uniqueness of solution of stochastic differential equations involving Wiener process and fractional Brownian motion". Communications in Statistics, Theory and Methods, v. 40, N 19-20, pp. 3492 - 3508, - 2011 Зовнішнє посилання
      • Y. Mishura, E. Valkeila "An extension of the Levy characterization to fractional Brownian motion". Annals of Probability, v.39, N 2, pp. 439 - 470, - 2011 Зовнішнє посилання
      • Y. Mishura, H. Tikkanmaki "Fractional Levy processes as a result of compact interval integral transformation". Stochastic Analysis and Applications, pp. 1081 - 1101, - 2011 Зовнішнє посилання
      • Y. Mishura, A. Melnikov "On pricing and hedging in financial markets with long-range dependence". Mathematics and Financial Economics, v. 5, N 11, pp. 29 - 46, - 2011 Зовнішнє посилання
      • M. Bratyk, Y. Kozachenko, Y. Mishura, "On convergence of maximal probability of success in the problem of quantile hedging for the model of stock market process involving both brownian and fractional Brownian motions". Teor. Probab. Mat. Stat. № 84, pp. 18 - 34, - 2011 Зовнішнє посилання
      • Mishura, Y., Shevchenko, G. "The rate of convergence of Euler approximations of solution of mixed SDE involving Brownian and fractional Brownian motions". Random Operators and Stochastic Equations, v. 19, no. 4, pp. 387 - 411, - 2011 Зовнішнє посилання
      2010
      • Y. Mishura, A. Swishchuk "Modeling and pricing of variance and volatility swaps for stochastic volatilities driven by fractional Brownian motion". Applied statistics, actuarial and financial mathematics, № 1-2, pp. 52 - 67, - 2010 Зовнішнє посилання
      • O. Kulyk, Y. Mishura, O. Soloveyko "Convergence with respect to series parameter and differentiability in barrier of the prices of barrier options". Teor. Probab. Mat. Stat.. № 81, pp. 117 - 130, - 2010 Зовнішнє посилання
      • Y. Mishura, O. Shvaj "The estimate of the rate of convergence of the difference scheme applied to stochastic differential equation containing additional process as a parameter". Teor. Probab. Mat. Stat. № 82, pp. 82 - 91, - 2010 Зовнішнє посилання
      • Y. Mishura, Y. Yukhnovskij "Functional limit theorems for the stochastic integrals with the application to risk processes and to the capitals of self-financing strategies on the multidimensional market. II". Teor. Probab. Mat. Stat. № 82, pp. 92 - 103, - 2010 Зовнішнє посилання
      • O. L. Banna, Y.S. Mishura "The estimate of the distance between fractional Brownian motion and the space of Gaussian martingales on the interval". Teor. Probab. Mat. Stat. № 83, pp. 12 - 21, - 2010 Зовнішнє посилання
      2009
      • Mishura, Yu.S.; Solovejko, O.M. "Rate of convergence of the price of European options on a market for which the jump of the stock price is uniformly distributed over an interval.". Ukr. Mat. Zh. 60, No. 8, pp. 1075 - 1086, - 2009
      • Y. Mishura, G. Shevchenko "The optimal time to exchange one asset for another on finite interval". , pp. 197 - 210, - 2009
      • E. Azmoodech, Y. Mishura, E. Valkeila "On hedging European options in geometric fractional Brownian motion market model". Statistics and Decisions, pp. 129 - 143, - 2009
      • Y. Mishura, V. Zubchenko "The existence and uniqueness of the solutions of stochastic differential eqautions with non-Lipschitz diffusion and Poisson measure". Teor. Probab. Mat. Stat.. № 80, pp. 43 - 54, - 2009
      • Y. Mishura, A. Shvaj "Mean-square rate of convergence of the process of optimal filtering from the model with discrete time to the model with contionuous time ". Applied statistics, actuarial and financial mathematics, № 1-2, pp. 104 - 115, - 2009
      • Y. Mishura, G. Shevchenko, Y. Yukhnovskij "Functional limit theorems for the stochastic integrals with the application to risk processes and to the capitals of self-financing strategies on the multidimensional market. I". Teor. Probab. Mat. Stat.. № 81, pp. 114 - 127, - 2009
      2008
      • Banna, O.; Mishura, Yu. "The simplest martingales of the best approximation of fractional Brownian motion.". Visn., Mat. Mekh., Kyïv. Univ. Im. Tarasa Shevchenka, No. 19, pp. 38 - 43, - 2008
      • Mishura, Yu; Shevchenko, G. "The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion. ". Stochastics 80, No. 5, pp. 489 - 511, - 2008
      • Mishura, Yu.; Shevchenko, G. "Approximate solutions to anticipative stochastic differential equations.". Stat. Probab. Lett. 78, No. 1, pp. 60 - 66, - 2008
      • Y. Mishura, M. Bratyk "The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions". Theory of Stochastic Processes, pp. 27 - 38, - 2008
      • Y. Mishura, S. Posashkova "Positivity of solution of nonhomogeneous stochastic differential equation with non-Lipschitz diffusion". Theory of Stochastic Processes, v. 14(30) № 3-4, pp. 77 - 88, - 2008
      • Androschuk M.O., Mishura Y.S. "Optimal investment for an insurance company into risky and non-risky assets in the model with variable premium income process. ". Journal of Computational and Applied Mathematics, N 1(96), pp. 11 - 27, - 2008
      • Y. Mishura, S. Posashkova, G. Shevchenko "The properties of solutions of stochastic differential equations with non-homogeneous non-Lipschitz coefficients". Teor. Probab. Mat. Stat.. № 79, pp. 116 - 124, - 2008
      2007
      • Mishura, Yu.S.; Posashkov, S.V. "Existence and uniqueness of the solution of a stochastic differential equation, driven by fractional Brownian motion with a stabilizing term.". Teor. Jmovirn. Mat. Stat. 76, pp. 117 - 124, - 2007
      • Kozachenko, Yu.V.; Mishura, Yu.S. "Maximal upper bounds for the moments of stochastic integrals and solutions of stochastic differential equations with respect to fractional Brownian motion with Hurst index. II.". Teor. Jmovirn. Mat. Stat. 76, pp. 53 - 69, - 2007
      • Androshchuk, M.O.; Mishura, Yu.S. "Estimation of the ruin probability of an insurance company operating on a BS-market.". Ukr. Mat. Zh. 59, No. 11, pp. 1443 - 1453, - 2007
      • Mishura, Yu.S.; Tomashyk, V.V. "Extremal behaviour of optimal sale moments for an asset whose price satisfies Ito’s diffusion equation.". Prykl. Stat., Aktuarna Finans. Mat., No. 2, pp. 75 - 87, - 2007
      • Zolota, A.V.; Mishura, Yu.S. "Minimization of locally-quadratic risk on financial markets with two parameters.". Prykl. Stat., Aktuarna Finans. Mat., No. 2, pp. 69 - 74, - 2007
      • Mishura, Yu.S.; Rode, S.G. "Weak convergence of integral functionals of random walks weakly convergent to fractional Brownian motion.". Ukr. Mat. Zh. 59, No. 8, pp. 1040 - 1046, - 2007
      • Mishura, Yu.S.; Shevchenko, G.M. "On the differentiability of solutions to stochastic differential equations with fractional Brownian motion. ". Theory Stoch. Process. 13, No. 29, Part 1-2, pp. 243 - 250, - 2007
      • Mishura, Yulia; Posashkov, Sergiy "Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and Wiener process.". Theory Stoch. Process. 13, No. 29, Part 1-2, pp. 152 - 165, - 2007
      • Mishura, Yu.S.; Shevchenko, G.M. "Approximation schemes for stochastic differential equations in Hilbert space.". Theory Probab. Appl. 51, No. 3, pp. 442 - 458, - 2007
      2006
      • Androshchuk, T.O.; Mishura, Yu.S. "A mixed Brownian-fractional Brownian model of stock market: the absence of arbitrage and the convergence of capitals.". Dopov. Nats. Akad. Nauk Ukr., Mat. Pryr. Tekh. Nauky, No. 1, pp. 7 - 13, - 2006
      • Kabanov, Yuri; Mishura, Yuliya; Sakhno, Ludmila "Multiparameter generalizations of the Dalang-Morton-Willinger theorem.". Kabanov, Yuri (ed.) et al., From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Allmost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France. , pp. 333 - 341, - 2006
      • Androshchuk, M.O.; Mishura, Yu.S. "Estimate of bankruptcy probability in the risk asset investment model in case of impossibility of interest-free loan.". Prykl. Stat., Aktuarna Finans. Mat., No. 1-2, pp. 4 - 13, - 2006
      • Kabanov, Yuri; Mishura, Yuliya; Sakhno, Ludmila "Multiparameter generalizations of the Dalang-Morton-Willinger theorem.". Kabanov, Yuri (ed.) et al., From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Allmost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France. , pp. 333 - 341, - 2006
      • Kukush, A.G.; Mishura, Yu.S.; Shevchenko, G.M. "On reselling of European option.". Theory Stoch. Process. 12, No. 28, Part 3-4, pp. 75 - 87, - 2006
      • Androshchuk, Taras; Mishura, Yuliya "Mixed Brownian-fractional Brownian model: absence of arbitrage and related topics.". Stochastics 78, No. 5, pp. 281 - 300, - 2006
      • Kozachenko, Yu.V.; Mishura, Yu.S. "Maximal upper bounds for the moments of stochastic integrals and solutions of stochastic differential equations containing fractional Brownian motion with Hurst index $H<1/2$. I.". Teor. Jmovirn. Mat. Stat. 75, pp. 45 - 56, - 2006
      • Mishura, Yu.S.; Il’chenko, S.A. "Stochastic integrals and stochastic differential equations, which contain fractional Brownian field. ". Teor. Jmovirn. Mat. Stat. 75, pp. 80 - 94, - 2006
      • Androshchuk, Taras; Mishura, Yuliya "Mixed Brownian-fractional Brownian model: absence of arbitrage and related topics.". Stochastics 78, No. 5, pp. 281 - 300, - 2006
      2005
      • Mishura, Yu.S.; Posashkov, S.V. "Optimal filtration in systems with noise modeled by a polynomial of fractional Brownian motion. ". Teor. Jmovirn. Mat. Stat. 73, pp. 104 - 111, - 2005
      • Ivasyuk, A.V.; Mishura, Yu.S. "The optimal stopping problem and its application to modelling financial markets with bi-dimensional packages of actives.". Prykl. Stat., Aktuarna Finans. Mat. , No. 1-2, pp. 71 - 85, - 2005
      • Mishura, Yuliya "An estimate of ruin probabilities for long range dependence models.". Teor. Jmovirn. Mat. Stat. 72, pp. 93 - 100, - 2005
      • Mishura, Yuliya S.; Il’chenko, Svitlana A. "Construction of the Wiener integrals with respect to fractional Brownian fields.". Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka, No. 2, pp. 46 - 52, - 2005
      • Kukush, Alexander; Mishura, Yulia; Valkeila, Esko "Statistical inference with fractional Brownian motion.". Stat. Inference Stoch. Process. 8, No. 1, pp. 71 - 93, - 2005
      • Mishura, Yu.; Nualart, D. "Weak solutions for stochastic differential equations with additive fractional noise.". Stat. Probab. Lett. 70, No. 4, pp. 253 - 261, - 2005
      2004
      • Mishura, Yuliya; Shevchenko, Georgij "Linear equations and stochastic exponents in a Hilbert space.". Teor. Jmovirn. Mat. Stat. 71, pp. 123 - 132, - 2004
      • Mishura, Yu.S.; Il’chenko, S.A. "The Itô formula for fractional Brownian fields.". Teor. Jmovirn. Mat. Stat. 69, pp. 141 - 153, - 2004
      • Il’chenko, S.A.; Mishura, Yu.S. "Generalized two-parameter Lebesgue-Stieltjes integrals and their applications to fractional Brownian fields.". Ukr. Mat. Zh. 56, No. 4, pp. 435 - 450, - 2004
      • Mishura, Yuliya; Silvestrov, Dmitrii S. "Limit theorems for stochastic Riemann-Stieltjes integrals. ". Theory Stoch. Process. 10(26), No. 1-2, pp. 122 - 140, - 2004
      • Mishura, Yu.S.; Stots’ka, S.V. "Convergence of locally minimizing risk strategies in Poisson process models.". Prykl. Stat., Aktuarna Finans. Mat., No. 1, pp. 17 - 27, - 2004
      • Kartashov, N.; Mishura, Yu. "What random variable generates a bounded potential?". J. Appl. Math. Stochastic Anal., No. 1, pp. 97 - 106, - 2004
      • Mishura, Yuliya "Fractional stochastic integration and Black-Scholes equation for fractional Brownian model with stochastic volatility.". Stochastics Stochastics Rep. 76, No. 4, pp. 363 - 381, - 2004
      • Y. Mishura, G. Shevchenko "Linear equations and stochastic exponents in Hilbert space". Theory of probability and Mathematical Statistics, - 2004
      2003
      • Mishura, Yulia S.; Ilchenko, Svetlana A. "Some estimates for two-parameter generalized stochastic Lebesgue-Stieltjes integrals. ". Theory Stoch. Process. 9(25), No. 3-4, pp. 87 - 100, - 2003
      • Mishura, Yu.S. "Main theorem of financial mathematics for bounded arbitrages.". Prykl. Stat., Aktuarna Finans. Mat., No. 1-2, pp. 49 - 54, - 2003
      • Kukush, O.G.; Mishura, Yu.S. "Asymptotic effiency of statistical estimates in compound Poisson model.". Teor. Jmovirn. Mat. Stat. 68, pp. 61 - 73, - 2003
      • Mishura, Yu.S. "Quasi-linear stochastic differential equations with fractional Brownian component.". Teor. Jmovirn. Mat. Stat. 68, pp. 95 - 106, - 2003
      2002
      • Mishura, Yuliya S. "The existence of quadratic variations for the processes modelling long-dependent financial markets. ". Prykl. Stat., Aktuarna Finans. Mat., No. 1, pp. 35 - 46, - 2002
      • Il’chenko, S.A.; Mishura, U.S. "Generalized integrals for random fields.". Teor. Jmovirn. Mat. Stat. 67, pp. 57 - 70, - 2002
      • Mishura, Yu. S.; Valkeila, E. "The absence of arbitrage in a mixed Brownian-fractional Brownian model.". Proc. Steklov Inst. Math. 237, pp. 215 - 224, - 2002
      2001
      • Mishura, Y.; Valkeila, E. "Martingale transforms and Girsanov theorem for long-memory Gaussian processes. ". Statist. Prob. Letters 55, pp. 421 - 430, - 2001
      • Mishura, Yu.S.; Oltsik, Ya.A. "Choosing an optimal switching moment on the financial market with alternative strategies (semimartingale approach).". Theory Prob. Appl. 45, pp. 480 - 493, - 2001
      • Mémin, J.; Mishura, Y.; Valkeila, E. "Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion.". Statist. Prob. Letters 51, pp. 197 - 206, - 2001
      • Mishura, Yuliya; Rudomino-Dusyatska, Nadiya "Consistency of drift parameter estimates in fractional Brownian diffusion models.". Theory Stoch. Process. 7(23), No. 3-4, pp. 103 - 112, - 2001
      • Mishura, Yu.S.; Zolota, A.V. "The structure of martingales generated by restrictions on stochastically continuous fields with independent increments to curves. III.". Teor. Jmovirn. Mat. Stat. 65, pp. 136 - 151, - 2001
      • Mishura, Yuliya; Valkeila, Esko "Martingale transforms and Girsanov theorem for long-memory Gaussian processes. ". Stat. Probab. Lett. 55, No.4, pp. 421 - 430, - 2001
      • Mishura, Yu.S. "Abstract Volterra equations with stochastic kernels.". Theory Probab. Math. Stat. 64, pp. 139 - 151, - 2001
      • Krvavych, Yu.V.; Mishura, Yu.S. "Problems of stochastic analysis of Wiener integrals constructed by fractional Brownian motion. ". Dopov. Nats. Akad. Nauk Ukr., Mat. Pryr. Tekh. Nauky, No.8, pp. 14 - 18, - 2001
      • Krvavych, Yu.V.; Mishura, Yu.S. "Differentiability of fractional integrals whose kernels contain fractional Brownian motion.". Ukr. Math. J. 53, No.1, pp. 35 - 47, - 2001
      • Krvavych, Yuriy; Mishura, Yuliya "Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations.". Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, pp. 230 - 238, - 2001
      • Mémin, Jean; Mishura, Yulia; Valkeila, Esko "Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion.". Stat. Probab. Lett. 51, No.2, pp. 197 - 206, - 2001
      • Mishura, Yu.S.; Zolota, A.V. "The structure of martingales generated by restrictions of stochastically continuous fields with independent increments to curves. II.". Theory Probab. Math. Stat. 62, pp. 113 - 126, - 2001
      2000
      • Kukush, A.G.; Mishura, Yu.S. "Asymptotic properties of an intensity estimator of an inhomogeneous Poisson process in a combined model. ". Theory Prob. Appl. 44, pp. 273 - 292, - 2000
      • Mishura, Y.; Valkeila, E. "An isometric approach to generalized stochastic integrals.". J. Theor. Prob. 13, pp. 673 - 693, - 2000
      • Mishura, Yu.S.; Ol’tsik, Ya.A. "Choosing an optimal switching moment on the financial market with alternative strategies (semimartingale approach).". Theory Probab. Appl. 45, No.3, pp. 480 - 493, - 2000
      • Mishura, Yu.S.; Swishchuk, A.V. "Stochastic stability of fractional (B,S)-securities markets.". Prykl. Stat., Aktuarna Finans. Mat., No.2, pp. 20 - 33, - 2000
      • Krvavych, Yurij V.; Mishura, Yuliya S. "The stochastic Fubini theorem for integrals containing random integrand and fractional Brownian motion as integrator.". Theory Stoch. Process. 6(22), No.1-2, pp. 79 - 89, - 2000
      • Krvavych, Yu.V.; Mishura, Yu.S. "Conditions of presence and absence of arbitrage for a model of $(B,S)$-market defined by fractional Brownian motion.". Visn., Mat. Mekh., Kyïv. Univ. Im. Tarasa Shevchenka, No.4, pp. 9 - 16, - 2000
      • Mishura, Yu.S.; Zolota, A.V. "The structure of martingales generated by restrictions on stochastically continuous fields with independent increments to curves. I.". Theory Probab. Math. Stat. 61, pp. 137 - 152, - 2000
      • Krvavych, Yu.V.; Mishura, Yu.S. "Maximal inequalities for moments of Wiener integrals with respect to fractional Brownian motion. ". Theory Probab. Math. Stat. 61, pp. 75 - 86, - 2000
      • Mishura, Yu.S.; Oltsik, Ya.A. "Optimal stopping for factorable process in application to financial problems.". Prykl. Stat., Aktuarna Finans. Mat., No.1, pp. 79 - 89, - 2000
      • Mishura, Yuliya "Skorokhod space and Skorokhod topology in probabilistic considerations during 1956‒1999.". Korolyuk, V. (ed.) et al., Skorokhod’s ideas in probability theory. Kyïv: Institute of Mathematics of NAS of Ukraine. Proc. Inst. Math. Natl. Acad. Sci. Ukr., Math. Appl. 32, pp. 281 - 297, - 2000
      • Mishura, Yulia; Valkeila, Esko "An isometric approach to generalized stochastic integrals.". J. Theor. Probab. 13, No.3, pp. 673 - 693, - 2000
      • Mishura, Yu.S.; Ol’tsik, Ya.A. "Some properties of exponential martingales and the problem of optimal stopping.". Theory Probab. Math. Stat. 60, pp. 159 - 164, - 2000
      1999
      • Mishura, Yu.S.; Weisz, F. "Atomic decompositions and inequalities for vector-valued discrete-time martingales.". Theory Prob. Appl. 43, pp. 487 - 496, - 1999
      • Mishura, Yu.; Oltsik, Ya. "Existence of moments of increasing predictable processes associated with one- and two-parameter potentials.". J. Appl. Math. Stoch. Anal. 12, pp. 133 - 150, - 1999
      • Mishura, Yu.S.; Ol’tsik, Ya.O. "Optimal stopping times for solutions of nonlinear stochastic differential equations and their applications to a problem of financial mathematics.". Ukr. Math. J. 51, No.6, pp. 899 - 906, - 1999
      • Kukush, A. G.; Mishura, Yu. S. "Asymptotic properties of an intensity estimator of an inhomogeneous Poisson process in a combined model.". Theory Probab. Appl. 44, No. 2, pp. 273 - 292, - 1999
      • Mishura, Yu.S.; Ol’tsik, Ya.O. "Application of methods of stochastic analysis to the problem of optimization of a financial strategy with alternatives. ". Dopov. Nats. Akad. Nauk Ukr., Mat. Pryr. Tekh. Nauky, No.7, pp. 22 - 26, - 1999
      • Mishura, Yuliya S. "Arbitrage and other economical possibilities on financial market.". Theory Stoch. Process. 5(21), No.1-2, pp. 80 - 97, - 1999
      • Mishura, Yu.; Oltsik, Ya. "Existence of moments of increasing predictable processes associated with one- and two-parameter potentials.". J. Appl. Math. Stochastic Anal. 12, No.2, pp. 133 - 150, - 1999
      • Mishura, Yu.S.; Lavrent’jev, O.S. "Stochastic differential equations in Hilbert space: Properties of solutions, limit theorems, asymptotic expansions with respect to a small parameter. II.". Theory Probab. Math. Stat. 59, pp. 139 - 147, - 1999
      • Mishura, Yu.S.; Lavrentiev, O.S. "Stochastic differential equations in Hilbert space: Properties of solutions, limit theorems, asymptotic expansions with respect to a small parameter. I.". Theory Probab. Math. Stat. 58, pp. 123 - 137, - 1999
      • Weisz, F.; Mishura, Yu.S. "Inequalities for vector-valued martingales with continuous time.". Theory Probab. Math. Stat. 58, pp. 9 - 25, - 1999
      1998
      • Mishura, Yu.S.; Zolota, A.V. "Optimal interpolation of random Gaussian field with non-zero mean.". Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka , No.2, pp. 87 - 92, - 1998
      • Mishura, Yu.S.; Zolota, A.V. "On some problem of restoration of Wiener field on the plane.". Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka, No.1, pp. 98 - 104, - 1998
      • Mishura, Yu.S.; Weisz, F. "Atomic decompositions and inequalities for vector-valued discrete-time martingales.". Theory Probab. Appl. 43, No.3, pp. 487 - 496, - 1998
      • Mishura, Yuliya S.; Ol’tsik, Yanina A. "Optimal financial strategy with wealth process governed by backward stochastic differential equation.". Theory Stoch. Process. 4(20), No.1-2, pp. 222 - 237, - 1998
      • Mishura, Yu.S.; Ol’tsik, Ya.O. "Martingale, supermartingale, and increasing fields on a plane.". Dopov. Nats. Akad. Nauk Ukr., Mat. Pryr. Tekh. Nauky, No.3, pp. 17 - 21, - 1998
      • Mishura, Yu.S. "Coordinate point fields and their compensators. II.". Theory Probab. Math. Stat. 57, pp. 123 - 131, - 1998
      • Mishura, Yu.S.; Ol’tsik, Ya.O. "Potentials and local times associated with two-parameter purely discontinuous strong martingales. ". Theory Probab. Math. Stat. 56, pp. 137 - 149, - 1998
      1997
      • Mishura, Yu.S. "Some properties of local times for Markov random fields.". Theory Probab. Math. Stat. 54, pp. 121 - 126, - 1997
      • Mishura, Yu.S. "Coordinate point fields and their compensators. I.". Theory Probab. Math. Stat. 55, pp. 153 - 159, - 1997
      1996
      • Mishura, Yu.; Tomilov, Yu. "Two-parameter semigroups, evolutions and their applications to Markov and diffusion fields on the plane.". J. Appl. Math. Stoch. Anal. 9, pp. 281 - 302, - 1996
      • Mishura, Yuliya S.; Tomilov, Yurij V. "Homogeneous stochastic fields with independent increments on the plane.". Theory Stoch. Process. 2(18), No.1-2, pp. 206 - 211, - 1996
      • Mishura, Yu.; Tomilov, Yu. "Two-parameter semigroups, evolutions and their applications to Markov and diffusion fields on the plane.". J. Appl. Math. Stochastic Anal. 9, No.3, pp. 281 - 302, - 1996
      1995
      • Mishura, Ju.S. "The weak convergence of point fields on a plane to a point field with conditionally independent increments.". Exploring Stochastic Laws, pp. 307 - 328, - 1995
      • Mishura, Yu.S. "Some properties of local times for Markov random fields.". Prob. Theory Math. Statist. 54, pp. 121 - 126, - 1995
      • Mishura, Yu. "On properties of compensators and $i$-compensators of coordinate point processes on a plane.". Random Operators \& Stoch. Equat. 3, pp. 193 - 200, - 1995
      • Mishura, Ju.S. "The weak convergence of point fields on a plane to a point field with conditionally independent increments.". Skorokhod, A. V. (ed.) et al., Exploring stochastic laws. Festschrift in honour of the 70th birthday of Academician Vladimir Semenovich Korolyuk., pp. 307 - 328, - 1995
      • Mishura, Yu.S. "Existence and properties of local times for Markov random fields.". Ukr. Math. J. 47, No.1, pp. 63 - 73, - 1995
      • Mishura, Yu.S. "Two-parameter Lévy processes: Itô formula, semigroups and generators.". Ukr. Math. J. 47, No.7, pp. 1092 - 1102, - 1995
      • Mishura, Yu.S. "Continuous additive functionals and local times for Markov fields.". TViMS. Teor. Veroyatn. Mat. Stat./Probab. Theory Math. Stat. 2, pp. 181 - 194, - 1995
      • Mishura, Yu.S. "On properties of compensators and $i$-compensators of coordinate point processes on a plane.". Random Oper. Stoch. Equ. 3, No.2, pp. 193 - 200, - 1995
      1994
      • Mishura, Yu. "The Itô formula and local times for stochastic processes of the Volterra type.". Theory Prob. Math. Statist. 49, pp. 173 - 192, - 1994
      1993
      • Mishura, Yu.S. "Semigroup and resolvent operators related with homogeneous Markov fields.". Random Oper. Stoch. Equ. 1, No.4, pp. 345 - 359, - 1993
      • Mishura, Yu.S. "The existence and properties of local time of the Skorokhod integral.". Random Oper. Stoch. Equ. 1, No.3, pp. 293 - 307, - 1993
      1992
      • Mishura, Yu.S. "Stochastic differential equations in the plane that contain strong semimartingales.". Theory Probab. Math. Stat. 45, pp. 77 - 85, - 1992
      • Gushchin, A.A.; Mishura, Yu.S. "The Davis inequalities and the Gundy decomposition for two-parameter strong martingales. III. ". Theory Probab. Math. Stat., pp. 45 - 51, - 1992
      1991
      • Mishura, Yu. "A martingale characterization of diffusion random fields on the plane. ". Theory Prob. Appl. 35, pp. 152 - 157, - 1991
      • Mishura, Yu. "Stochastic integrals and stochastic differential equations on the plane involving strong semimartingales.". New Trends Prob. Statist., Volume 1, pp. 485 - 502, - 1991
      • Mishura, Yu. "A martingale characterization of diffusion random fields on the plane. ". Theory Prob. Appl. 35, pp. 152 - 157, - 1991
      • Gushchin, A.A.; Mishura, Yu.S. "Davis inequalities and the Gundy decomposition for two-parametric strong martingales. III.". Teor. Veroyatn. Mat. Stat., Kiev 44, pp. 49 - 56, - 1991
      • Mishura, Yu.S. "Stochastic integrals and stochastic differential equations on the plane involving strong semimartingales.". New trends in probability and statistics. Vol. 1, Proc. 23rd Bakuriani Colloq. in Honour of Yu. V. Prokhorov, Bakuriani/USSR, pp. 485 - 502, - 1991
      • Gushchin, A.A.; Mishura, Yu.S. "The Davis inequalities and the Gundy decomposition for two-parameter strong martingales. II. ". Theory Probab. Math. Stat. 43, pp. 65 - 76, - 1991
      1990
      • Mishura, Yu.S. "A martingale characterization of diffusion random fields on the plane.". Theory Probab. Appl. 35, No.1, pp. 152 - 157, - 1990
      • Mishura, Yu.S. "Martingale characterization of solutions of stochastic differential equations on the plane.". Dokl. Akad. Nauk Ukr. SSR, Ser. A, No.8, pp. 26 - 28, - 1990
      • Mishura, Yu.S. "Some properties of random fields with independent increments.". Theory Probab. Math. Stat. 41, pp. 65 - 75, - 1990
      • Mishura, Yu.S. "Conditions for the existence of stochastic integrals with respect to weak semimartingales, and the generalized Itô formula for semimartingales on the plane.". Theory Probab. Math. Stat. 40, pp. 75 - 86, - 1990
      • Mishura, Yu.S. "Martingale characterization of diffusion random fields given on a plane.". Teor. Veroyatn. Primen. 35, No.1, pp. 143 - 147, - 1990
      • Mishura, Yu.S. "Decompositions of quasimartingale fields given on the plane.". Infinite-dimensional stochastic analysis, Collect. Sci. Works, pp. 90 - 96, - 1990
      • Mishura, Yu.S.; Gushchin, A.A. "Two-parameter strong martingales: Inequalities for quadratic variation and some decompositions. ". Probability theory and mathematical statistics, Proc. 5th Vilnius Conf., Vilnius/Lith., Vol. II, pp. 181 - 192, - 1990
      1989
      • Mishura, Yu. "Exponential formulas and Doléans’ equation for discontinuous two-parameter processes.". Theory Prob. Appl. 33, pp. 388 - 392, - 1989
      • Mishura, Yu.S. "Martingale field transformations under a change of probability measure.". Ukr. Math. J. 41, No.7, pp. 789 - 793, - 1989
      • Mishura, Yu.S. "Canonical representation of weak semimartingales defined on the plane.". Ukr. Math. J. 41, No.3, pp. 308 - 313, - 1989
      • Mishura, Yu.S. "Exponential representations of continuous two-parameter martingales.". Theory Probab. Math. Stat. 38, pp. 97 - 106, - 1989
      • Mishura, Yu.S. "Sufficient conditions for weak convergence of two-parameter semimartingales to fields of diffusion type.". Theory Probab. Math. Stat. 39, pp. 117 - 128, - 1989
      • Mishura, Yu.S. "Some properties of random fields with independent increments.". Teor. Veroyatn. Mat. Stat., Kiev 41, pp. 56 - 66, - 1989
      • Mishura, Yu.S. "Transformations of martingale fields under a change of the probability measure.". Ukr. Mat. Zh. 41, No.7, pp. 923 - 929, - 1989
      • Mishura, Yu.S. "Canonical representation of weak semimartingales given on the plane.". Ukr. Mat. Zh. 41, No.3, pp. 348 - 354, - 1989
      1988
      • Mishura, Yu.S. "Exponential formulas and Doléans’ equation for discontinuous two- parameter processes.". Theory Probab. Appl. 33, No.2, pp. 388 - 392, - 1988
      • Mishura, Yu.S. "Sufficient conditions of weak convergence of two-parameter semimartingales to fields of diffusion type. ". Teor. Veroyatn. Mat. Stat., Kiev 39, pp. 97 - 106, - 1988
      • Mishura, Yu.S. "Exponential representations of continuous two-parametric martingales.". Teor. Veroyatn. Mat. Stat., Kiev 38, pp. 88 - 96, - 1988
      • Mishura, Yu.S. "Exponential formulas and Doléan equation for discontinuous two- parameter processes.". Teor. Veroyatn. Primen. 33, No.2, pp. 412 - 417, - 1988
      1987
      • Mishura, Yu.S. "Exponential estimates for two-parameter martingales.". Ukr. Math. J. 39, No.3, pp. 275 - 279, - 1987
      • Mishura, Yu.S. "Sufficient conditions for uniform integrability of non-negative two- parametric martingales.". Teor. Veroyatn. Mat. Stat., Kiev 37, pp. 94 - 105, - 1987
      • Mishura, Yu.S. "Sufficient conditions for relative compactness of measures corresponding to two-parameter strong martingales.". Theory Probab. Math. Stat. 34, pp. 117 - 125, - 1987
      1986
      • Mishura, Yu.S. "Conditions of existence of the second kind stochastic integrals with respect to two-parametric martingales.". Probabilistic methods for the investigation of systems with an infinite number of degrees of freedom, Collect. sci. Works, Kiev, pp. 96 - 100, - 1986
      • Mishura, Yu.S. "Canonical representation of two-parameter strong semimartingales.". Theory Probab. Math. Stat. 33, pp. 91 - 95, - 1986
      • Mishura, Yu.S. "A generalized Itô formula for two-parameter martingales. II.". Theory Probab. Math. Stat. 32, pp. 77 - 94, - 1986
      1984
      • Mishura, Yu.S. "The generalized Ito formula for two-parametric martingales.". Teor. Veroyatn. Mat. Stat. 30, pp. 114 - 127, - 1984
      • Mishura, Yu.S. "Ito’s formula for two-parameter stochastic integrals with respect to martingale measures.". Ukr. Math. J. 36, pp. 370 - 374, - 1984
      1983
      • Mishura, Yu.S. "On some properties of two-parameter martingales with jumps.". Teor. Veroyatn. Mat. Stat. 29, pp. 72 - 84, - 1983
      • Mishura, Yu.S. "Representation of regular quadratically integrable two-parametric martingales.". Dokl. Akad. Nauk Ukr. SSR, Ser. A , No.1, pp. 21 - 23, - 1983
      • Mishura, Yu.S. "On the structure of square-integrable martingales on the plane.". Theory Probab. Math. Stat. 27, pp. 111 - 119, - 1983
      1982
      • Leonenko, N.N.; Mishura, Yu.S. "On an invariance principle for multiparameter martingales.". Theory Probab. Math. Stat. 24, pp. 91 - 101, - 1982
      • Mishura, Yu.S. "On properties of the quadratic variation of two-parameters strong martingales.". Theory Probab. Math. Stat. 25, pp. 99 - 106, - 1982
      • Mishura, Yu.S. "On the structure of quadratically integrable martingales on the plane.". Teor. Veroyatn. Mat. Stat. 27, pp. 102 - 110, - 1982
      1981
      • Leonenko, N.N.; Mishura, Yu.S. "On the invariance principle for multiparametric martingales.". Teor. Veroyatn. Mat. Stat. 24, pp. 81 - 91, - 1981
      • Mishura, Yu.S. "Ito’s formula for discontinuous martingales in the plane.". Dopov. Akad. Nauk Ukr. RSR, Ser. A, No.4, pp. 20 - 23, - 1981
      • Mishura, Yu.S. "On properties of the quadratic variation of two-parameter strong martingales.". Teor. Veroyatn. Mat. Stat. 25, pp. 92 - 99, - 1981
      • Mishura, Yu.S. "Some limit theorems for stochastic integrals with respect to a martingale, and their applications.". Theory Probab. Math. Stat. 22, pp. 115 - 129, - 1981
      • Mishura, Yu.S. "Some limit theorems for Schärf-Stieltjes stochastic integrals.". Ukr. Math. J. 32, pp. 225 - 231, - 1981
      • Mishura, Yu.S. "Decomposition of two-parameter martingales into orthogonal components.". Theory Probab. Math. Stat. 23, pp. 127 - 136, - 1981
      • Mishura, Yu.S. "Two-parameter semimartingales and point random fields.". Theory Probab. Math. Stat. 23, pp. 117 - 126, - 1981
      1980
      • Mishura, Yu.S. "On the convergence of random fields of step sums in the uniform topology.". Theory Probab. Math. Stat. 19, pp. 117 - 127, - 1980
      • Mishura, Yu.S. "Gewisse Grenzwertsätze für Schärf-Stieltjessche stochastische Integrale. ". Ukr. Mat. Zh. 32, pp. 340 - 347, - 1980
      • Mishura, Yu.S. "Some limit theorems for stochastic integrals related to martingales and their applications.". Teor. Veroyatn. Mat. Stat. 22, pp. 104 - 117, - 1980
      1979
      • Mishura, Yu.S.; Sil’vestrov, D.S. "A remark on the iterated weak limit of the superposition of random functions.". Theory Probab. Math. Stat. 18, pp. 109 - 114, - 1979
      • Mishura, Yu.S. "On the convergence of random fields in the J-topology.". Theory Probab. Math. Stat. 17, pp. 111 - 119, - 1979
      • Mishura, Yu.S. "On the convergence of some functionals of integral type in a uniform topology.". Teor. Sluchajnykh Protsessov 7, pp. 85 - 95, - 1979
      1978
      • Mishura, Yu.S. "On convergence of stochastic fields of stepped sums in uniform topology.". Teor. Veroyatn. Mat. Stat. 19, pp. 102 - 111, - 1978

    Прізвище: Мішура
    Ім'я, побатькові: Юлія Степанівна
    Місце народження: Київ, Україна
    Адреса:
           Кафедра теорії ймовірностей, статистики та актуарної математики,
           Київський національний університет імені Тараса Шевченка,
           Володимирська, 64, Київ, 01601 Україна
    E-mail: myus@univ.kiev.ua
    Тел.: (+380-44) 259-03-92
    Факс: (+380-44) 259-03-92
    Володіння мовами:українська, російська і англійська
    Очолювана посада:
           Завідувач кафедри теорії ймовірностей, статистики та актуарної математики, професор