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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

   

Rostyslav Yamnenko


Courses taught:

Course nameSpecialityYear of study
Discrete probability spacesStatistics Bachelor - 2
Mathematical modeling of risk processesMathematics Bachelor - 3
Theory of actuarial and financial riskStatistics Bachelor - 4
Risk processes and problems of insurance mathematicsStatistics Mathematics Master - 2
Approximate calculation in financial mathematicsStatistics Master - 2
Actuarial models for reinsurance. Approximate calculation in financial mathematicsActuarial and Financial Mathematics Master - 2


Education:
  • PhD at Taras Shevchenko National University of Kyiv, 2006. Thesis title: "Exponential estimates of distribution of some functionals on φ-sub-Gaussian random processes".
  • Master of Mathematics, speciality "Probability theory and Mathematical Statistics" - Taras Shevchenko National University of Kyiv, 2002.
Employment:
  • Lead Engineer, Samsung Research and Development Institute Ukraine
  • Doctorate research - Taras Shevchenko National University of Kyiv
Areas of research and interest:
  • φ-sub-Gaussian random processes with applications in financial mathematics and queueing theory
  • Generalized processes of fractional Brownian motion
  • Actuarial mathematics and risk theory
  • Probabilistic methods in simulation of physical effects
Professional Activities:Grants
  • 2005-2008: Joint European Tempus Project IB-JEP-25054-2004 "Training Center for Actuaries and Financial Analysts"
  • 2002-2004: Tempus-Tacis Network Project NP-22012-2001 "Improvement of Education in Statistical Applications in Economics"
Awards and Fellowships
  • The award named after Taras Shevchenko of Kyiv National Taras Shevchenko University in the category "Young scientists for a series of papers", 2009.
  • Diploma of the Presidium of the National Academy of Sciences of Ukraine for a series of works $\varphi$-sub-Gaussian random processes", 2014.

Conferences

  • International Conference of Young Mathematicians, Kyiv, Ukraine (2015)
    Title of the talk: Some properties of a generalized $\varphi$-sub-Gaussian process of FBM
  • Probability, reliability and stochastic optimization, Kyiv, Ukraine (2015)
    Title of the talk: Some properties of a queue with $\varphi$-sub-Gaussian input
  • International Conference Stochastic Processes in Abstract Spaces dedicated to the 80th anniversary of Professor A.Ya. Dorogovtsev, Kyiv, Ukraine (2015)
    Title of the talk: Method of majorizing measures and extremal functionals of stochastic processes from Orlicz spaces
  • 11th International Vilnius Conference on Probability and Mathematical Statistics, Vilnius, Lithuania (2014)
    Title of the talk: $\varphi$-sub-Gaussian FBM queueing model
  • XV International Scientific Mykhailo Kravchuk Conference, Kyiv, Ukraine (2014)
    Title of the talk: $V(\varphi, \psi)$
  • IV Annual conference of the Georgian Mathematical Union, Batumi, Georgia (2013)
    Title of the talk: Storage models with stochastic input from the class V(φ, ψ)
  • International Conference "Modern Stochastics: Theory And Applications II", Kyiv, Ukraine (2012)
    Title of the talk: Some functionals of φ-sub-Gaussian storage processes
  • International Conference "Modern Stochastics: Theory And Applications II", Kyiv, Ukraine (2010)
    Title of the talk: Storage processes from the class V(φ, ψ)
  • Workshop on Actuarial Mathematics, Cologne, Germany (2008)
    Title of the talk: Generalized φ -sub-Gaussian Brownian motion
  • XI International Summer School Insurance and Finance: Science, Practice and Education, Foros, Ukraine (2008)
    Title of the talk: Some applications of φ-sub-Gaussian random processes
  • X International Summer School Insurance and Finance: Science, Practice and Education, Foros, Ukraine (2007)
    Title of the talk: φ-sub-Gaussian risk processes
  • IX International Summer School Insurance and Finance: Science, Practice and Education, Foros, Ukraine (2006)
    Title of the talk: On some properties of generalized φ-sub-Gaussian fractional Brownian motion
  • International Conference "Modern Stochastics: Theory And Applications", Kyiv, Ukraine (2006)
    Title of the talk: Some properties of φ-sub-Gaussian queues
  • 4th Conference in Actuarial Science & Finance in Samos, Samos, Greece (2006)
    Title of the talk: Some properties of φ-sub-Gaussian random processes

Publications

  • Monographs
    • Vasylyk, O.I., Kozachenko, Yu.V. & Yamnenko, R.E. "$\varphi$-sub-Gaussian random processes ($\varphi$ : )". Kyiv: Vydavnycho-Poligrafichnyi Tsentr, Kyivskyi Universytet (ISBN 978-966-439-051-1), 231 p. - 2008

  • Textbooks and tutorials
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  • Articles
    • 2016
      • Yamnenko, R. "On distribution of supremum of γ-reflected random process with input process from some Orlicz spaces of exponential type". Teor. Imovir. ta Matem. Statyst., pp. 173 - 188, - 2016
      • Yamnenko, R. "On distribution of supremum of γ-reflected sub-Gaussian process of fractional Brownian motion". Nauk. visnyk Uzngorod. Un-ty, Vol.28, Iss.1 pp. 140 - 149, - 2016
      • Yamnenko, R. "Averaged deviations of Orlicz processes and majorizing measures". Modern Stochastics: Theory and Applications, Vol.3, Iss.3 pp. 249 - 268, - 2016
      2015
      • Rostyslav E. Yamnenko "A Bound for Norms in Lp(T) of Deviations of $\varphi$-sub-Gaussian Stochastic Processes". Lithuanian Mathematical Journal, Vol.55, Iss.2 pp. 291 - 300, - 2015
      • Yamnenko R. "On distribution of the norm of deviation of a sub-Gaussian random process in Orlicz spaces". Random Operators and Stochastic Equations, Vol.23, Iss.3 pp. 187 - 194, - 2015
      2014
      • Kozachenko, Yu., Yamnenko, R. "Application of $\varphi$-sub-Gaussian random processes in Queuing Theory". Modern trends in Stochastics (Springer Optimization and Its Applications), pp. 21 - 38, - 2014
      • R. Yamnenko, Yu. Kozachenko, D. Bushmitch "Generalized sub-Gaussian fractional Brownian motion queueing model". Queueing Systems, Vol.77, Iss.1 pp. 75 - 96, - 2014
      2013
      • Saienko M.I., Yamnenko R.E. "Sub-Gaussian risk processes with dependent moments of claims incoming and contracts signing". Nauk. visnyk Uzngorod. Un-ty, Vol.24, Iss.2 pp. 176 - 184, - 2013
      2012
      • Yamnenko, R. "Modeling of a smoothed Brownian bridge from Orlicz spaces via wavelet expansions". Visn., Ser. Fiz.-Mat. Nauky, Kyiv. Univ. Im. Tarasa Shevchenka, Vol.3, Iss.0 pp. 50 - 54, - 2012
      • Yamnenko, R. "Bounds for the distribution of some functionals of processes with $ \varphi$-sub-Gaussian increments". Theor. Probability and Math. Statist., Vol.85, Iss.0 pp. 181 - 197, - 2012
      • Yamnenko, R. "On properties of strorage processes generated by sub-Gaussian Ornstein-Uhlenbeck processes". Nauk. visnyk Uzhgorod. Un-ty, Vol.23, Iss.2 pp. 171 - 176, - 2012
      2011
      • Yamnenko, R. E.; Shramko O.S. "On the distribution of storage processes from the class $V(\phi,\psi)$". Theory Probab. Math. Statist., Vol.83, Iss.0 pp. 191 - 206, - 2011
      2010
      • Krenevych, A.P. & Yamnenko, R.E. "Asymptotic equivalence of nonlinear differential systems not solved relative to the derivative". Visn., Ser. Fiz.-Mat. Nauky, Kyiv. Univ. Im. Tarasa Shevchenka, Vol.1, Iss.0 pp. 33 - 36, - 2010
      2009
      • Yakovenko, T. & Yamnenko, R. "Convergence rate for wavelet expansions of generalized accumulated Ornstein-Uhlenbeck processes". Visn., Ser. Fiz.-Mat. Nauky, Kyiv. Univ. Im. Tarasa Shevchenka, Vol.4, Iss.0 pp. 26 - 30, - 2009
      • Yamnenko, R.E.; Krenevych, A.P. "On the distribution of the supremum of generalized FBM with Hurst parameter H<0.5". Visn., Ser. Fiz.-Mat. Nauky, Kyiv. Univ. Im. Tarasa Shevchenka, Vol.3, Iss.0 pp. 51 - 54, - 2009
      2008
      • Shramko, O.S. & Yamnenko, R.E. "On an application of generalized $\varphi$-sub-Gaussian fractional Browinian motion". Visn., Ser. Fiz.-Mat. Nauky, Kyiv. Univ. Im. Tarasa Shevchenka, Vol.2, Iss.0 pp. 40 - 44, - 2008
      • Yakovenko, T. & Yamnenko, R. "Generalized fractional Brownian motion in Orlicz spaces". Theory Stoch. Process., Vol.14, Iss.3-4 pp. 174 - 188, - 2008
      2007
      • Olga Vasylyk, Rostyslav Yamnenko "Random process from the class $V(\varphi,\psi)$: exceeding a curve". Theory of Stochastic Processes, Vol.13(29), Iss.4 pp. 219 - 232, - 2007
      • Vasylyk, O. & Yamnenko, R. "Some properties of random Poisson sums with $\varphi$-sub-Gaussian terms". Prykl. Stat., Aktuarna Finans. Mat., Vol.1, Iss. pp. 133 - 148, - 2007
      2006
      • Yamnenko, R. "Ruin probability for generalized $\varphi$-sub-Gaussian fractional Brownian motion". Theory Stoch. Process., Vol.12(28), Iss.3-4 pp. 261 - 275, - 2006
      • Yamnenko, R. "An estimate of the probability that the queue length exceeds the maximum for a queue that is a generalized Ornstein-Uhlenbeck stochastic process". Theor. Probability and Math. Statist., Vol.73, Iss.0 pp. 181 - 194, - 2006
      2005
      • Kozachenko, Yu., Vasylyk, O. & Yamnenko, R. "Upper estimate of overrunning by $\text{Sub}_{\varphi}(\Omega)$ random process the level specified by continuous function". Random Oper. Stoch. Equ., Vol.13, Iss.2 pp. 111 - 128, - 2005
      • Yamnenko, R. "On probability of crossing for a sum of $\varphi$-sub-Gaussian random processes.". Visn., Ser. Fiz.-Mat. Nauky, Kyiv. Univ. Im. Tarasa Shevchenka, Vol.2, Iss.0 pp. 74 - 82, - 2005
      2004
      • Yamnenko, R. "On the probability of exceeding some curve by trajectories of a $\varphi$-sub-Gaussian random process". Visn., Ser. Fiz.-Mat. Nauky, Kyiv. Univ. Im. Tarasa Shevchenka, Vol.3, Iss.0 pp. 82 - 86, - 2004
      2003
      • Kozachenko, Yu., Vasylyk, O. & Yamnenko, R. "On the probability of exceeding some curve by $\varphi$-subGaussian random process". Theory Stoch. Process., Vol.9(25), Iss.3-4 pp. 70 - 80, - 2003

    First name: Rostyslav
    Surname: Yamnenko
    Date of birth: 12.02.1981
    Place of birth: Kyiv region
    Citizenship: Ukraine
    Address:
    Department of Probability Theory, Statistics and Actuarial Mathematics,
    Taras Shevchenko National University of Kyiv,
    Volodymyrska 64, Kyiv 01601, Ukraine
    E-mail: yamnenko@univ.kiev.ua
    Tel: (+380-44) 259-03-92
    Fax: (+380-44) 259-03-92
    Languages: Ukrainian, Russian, English
    Current position:
    Associated Professor, candidate of sciences in physics and mathematics