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Department of Probability Theory,
Statistics
and Actuarial Mathematics

Mechanics and Mathematics
faculty

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

   

Kostiantyn Ralchenko


Areas of research and interest:
  • Fractional and multifractional random processes and fields
  • Statistical inference for stochastic processes
Societies:
  • Member of International Statistical Institute

Conferences

  • 61st ISI World Statistics Congress (July 16-21, 2017), Marrakech, Morocco (2017)
  • Int. Conf. on Differential Equations, Mathematical Physics and Applications (September 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)
  • 10th Int. Conf. Computer Data Analysis & Modeling 2013 : Theoretical & Applied Stochastics (September 10-14, 2013), Minsk, Belarus (2013)
  • 18th European Young Statisticians Meeting (August 26-30, 2013), Osijek, Croatia (2013)
  • Workshop Stochastic Processes : Theory and Statistical Applications (April 25, 2013), Kyiv, Ukraine (2013)
  • Int. Conf. Modern Stochastics : Theory and Applications III (September 10-14, 2012), Kyiv, Ukraine (2012)
  • Summer School Random Motions and Random Graphs (September 26 - October 7, 2011), Berlin, Germany (2011)
  • Int. Conf. Modern Stochastics : Theory and Applications II (September 7-11, 2010), Kyiv, Ukraine (2010)
  • Atelier sur les processus multifractionnaires (October 21, 2010), Nancy, France (2010)
  • Workshop New Trends in the Modelling of Fractional and Multifractional Stochastic Systems (May 5, 2010), Cardiff, UK (2010)
  • 13th Int. Conf. Devoted to the Memory of Academician M. Kravchuk (May 13-15, 2010), Kyiv, Ukraine (2010)
  • Workshop on Multifractality (October 21-22, 2009), Nancy, France (2009)
  • Workshop on Long-Range Dependence: from Fractional Calculus to Financial Applicalions (September 7-11, 2009), Kyiv, Ukraine (2009)
  • Int. Conf. Differential Equations and Their Applications (June 6-9, 2005), Kyiv, Ukraine (2005)

Publications

    • Textbooks and tutorials
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      • .., .., .., .., .., ... " i i i ". ., -ii i, 84 p. - 2014

    • Articles
      • 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
        • M. Bel Hadj Khlifa, Yu. Mishura, K. Ralchenko, G. Shevchenko, M. Zili "Stochastic differential equations with generalized stochastic volatility and statistical estimators". Teor. Imovir. Mat. Stat., Vol. 96, pp. 8 - 20, - 2017
        2016
        • 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. doi:10.1007/s11203-016-9147-z, - 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
      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
      Tel: (+380-44) 259-03-92
      Fax: (+380-44) 259-03-92
      Current position:
      doctoral candidate