Warning: jsMath requires JavaScript to process the mathematics on this page.
If your browser supports JavaScript, be sure it is enabled.

 

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


Courses taught:

Course nameSpecialityYear of study
Mathematical foundations of life insuranceActuarial and Financial Mathematics Master - 1
Markov processes in actuarial mathematicsActuarial and Financial Mathematics Master - 1


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

Conferences

  • Int. Conf. Modern Stochastics: Theory and Applications. IV (May 24-26, 2018), Kyiv, Ukraine (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)
  • 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)

Publications

  • Monographs
    • K. Kubilius, Y. Mishura, K. Ralchenko "Parameter Estimation in Fractional Diffusion Models". Bocconi & Springer Series, vol. 8. Springer, 390 p. - 2017

  • Textbooks and tutorials
    • .., .., ... " 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
    • 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
      • 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
      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
      • 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
      • Yu. S. Mishura, V. I. Piterbarg, K. V. Ralchenko, A.Yu. Yurchenko-Tytarenko "Stochastic representation and pathwise properties of fractional CoxIngersollRoss process". Teor. Imovir. Mat. Stat., Vol. 97, pp. 157 - 170, - 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
    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: ralchenko@univ.kiev.ua
    Tel: (+380-44) 259-03-92
    Fax: (+380-44) 259-03-92
    Current position:
    Associate Professor of the Department of Probability Theory, Statistics and Actuarial Mathematics