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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

   

Georgiy Shevchenko


Courses taught:

Course nameSpecialityYear of study
Financial AnalysisStatistics Bachelor - 1
Probability theoryStatistics Bachelor - 3
Mathematical StatisticsStatistics Bachelor - 3
Approximate calculations in financial mathematicsStatistics Master - 1
Mathematics of FinanceActuarial and Financial Mathematics / Correspondence DepartmentMaster - 1
Financial AnalysisActuarial and Financial Mathematics / Correspondence DepartmentMaster - 1
Optimal stochastic control in actuarial mathematicsActuarial and Financial Mathematics Master - 2


Education:
  • 09/1996-09/2000 Undergraduate Studies in Mathematics at Kyiv National Taras Shevchenko University, Ukraine
  • 09/2000-09/2002 M.Sc. in Mathematics at Kyiv National Taras Shevchenko University
    Specialization: Probability Theory, Mathematical Statistics
    Thesis: Generalized diffusion processes;
    Supervisor: Prof. Dr. M. I. Portenko
  • 10/2002-12/2005 Ph.D. in Mathematics at Kyiv National Taras Shevchenko University
    Specialization: Probability Theory, Mathematical Statistics
    Thesis: Some properties of stochastic differential equations in Hilbert spaces;
    Supervisor: Prof. Dr. Yu. S. Mishura
  • 09/2014 D.Sc in Mathematics
    Specialization: Probability Theory, Mathematical Statistics
    Thesis: Stochastic analysis for fractional and multifractional processes in models with long memory
Employment:
  • 09/2001-08/2002 Institute of Mathematics of National Academy of Sciences of Ukraine, junior scientific researcher
  • 10/2003-06/2008 Kyiv University, Assistant Professor
  • 06/2008-09/2010 Kyiv University, Associate Professor
  • 09/2010-09/2013 Kyiv University, Post-Doc Researcher
  • 09/2013-06/2016 Kyiv University, Associate Professor
  • Since 07/2016 Kyiv University, Professor
Areas of research and interest:
  • Stochastic analysis
  • Stochastic differential equations
  • Fractional Brownian motion
  • Fractional and multifractional processes
  • Financial mathematics
  • Statistics of random processes and fields
  • arXiv.org Google Scholar profile ResearchGate profile ResearcherID profile
  • Non-scientific interests:
    - Bridge (sports)

  • IMO2012 Selection
Professional Activities:
  • 4 students obtained Ph.D., 10 students obtained M.Sc.
  • Member of editorial board of Modern Stochastics: Theory and Applications
  • Research visits:
  • 2004,2005 Institute of Mathematics, Humboldt Univesity of Berlin, Germany
  • 2010 Cardiff University, Great Britain
  • 2010,2011,2012 Elie Cartan Mathematics Institute of Nancy University, France
  • 2011 Aalto University, Finland
  • 2013,2014,2015 Institute of Stochastics, Ulm University, Germany

Awards and Fellowships
  • 1997,1998,1999,2000 First Prize of Ukrainian Mathematical Olympiad for University Students
  • 1999 First Prize of International Mathematical Competition for University Students, Keszthei, Hungary
  • 2000 Grand First Prize of International Mathematical Competition for University Students, London, UK
  • 2008 National Academy of Sciences Prize for Young Scientists
  • 2012 President's Prize for Young Scientists

Conferences

  • Workshop on Fractality and Fractionality, Leiden, Netherlands (2016)
  • Stochastic Analysis, Controlled Dynamical Systems and Applications, Jena, Germany (2015)
  • 3rd Workshop on Analysis, Geometry and Probability, Ulm, Germany (2015)
  • Probability, Reliability and Stochastic Optimization, Kyiv, Ukraine (2015)
  • Stochastic calculus, Martingales, and Financial modeling, St. Petersburg, Russia (2014)
  • 11th German Statistics and Probability Days, Ulm, Germany (2014)
  • Infinite Dimensional Stochastic Systems: Theory and Applications, Wittenberg, Germany (2014)
  • Analysis of Fractional Stochastic Processes: Advances and Applications, Jagna, Philippines (2014)
  • Asymptotical Statistics of Stochastic Processes IX, Le Mans, France (2013)
  • Topical Problems of Financial Mathematics, St. Petersburg, Russia (2013)
  • Mathematics in Armenia: Advances and Perspectives, Tsaghkadzor, Armenia (2013)
  • Fusion of Knowledge in Modeling of Large Stochastic Systems, Bielefeld, Germany (2013)
  • Stochastic and Infinite Dimensional Analysis, Bielefeld, Germany (2013)
  • Modern Stochastics: Theory and Applications III, Kyiv, Ukraine (2012)
  • Modern Trends in Probability Theory and Mathematical Statistics II, Kyiv, Ukraine (2012)
  • Stochastic Models in Finance and Insurance, Jena, Germany (2011)
  • Modern Stochastics: Theory and Applications II, Kyiv, Ukraine (2010)
  • Stochastic Processes and Their Applications, Berlin, Germany (2009)
  • Self-Similar Processes and Their Applications, Angers, France (2009)
  • Stochastic Analysis and Random Dynamics, Chernivtsi, Ukraine (2009)
  • Advanced Research Workshop on Financial Mathematics: Methods and Applications, Gdansk, Poland (2008)
  • 5th Conference on Actuarial Science and Finance on Samos, Karlovassi, Greece (2008)
  • Insurance and Finance: Science, Practice and Education, Foros, Ukraine (2008)
  • Topical problems of probability theory and related areas, Uman, Ukraine (2008)
  • International School on Finance, Insurance & Energy Markets, Vasteras, Sweden (2008)
  • Cologne Workshop on Actuarial Mathematics, Cologne, Germany (2008)

Publications

    • Textbooks and tutorials
      • Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "Завдання третього етапу LIII Всеукраїнської учнівської олімпіади з математики". , 53 p. - 2013
      • Г.Шевченко,Кочубінська Є.А. "Рівняння Баше і арифметика точок кривої Баше". , 1 p. - 2013
      • Г.Шевченко, Мишура Ю.С. "Про невласнi iнтеграли i асимптотичну поведiнку розв’язкiв диференцiальних рiвнянь". , 18 p. - 2013
      • Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "Завдання третього етапу LIII Всеукраїнської учнівської олімпіади з математики". , 3 p. - 2013
      • Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "Завдання IV етапу LIII Всеукраїнської учнівської олімпіади з математики". , 3 p. - 2013
      • Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "Обласні олімпіади з математики 2012 р.". , 61 p. - 2012
      • Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "Обласні математичні олімпіади - 2012". Математика. Шкільний світ, № 13, 13 p. - 2012
      • Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "LII Всеукраїнська учнівська олімпіада з математики". Математика в школі, № 6, 2012, 40 p. - 2012
      • Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "LII Всеукраїнська учнівська олімпіада з математики". Математика в сучасній школі, № 7/8, , 48 p. - 2012
      • Г.Шевченко, Мітельман І.М. Радченко В.М. Ясінський В.А. "Завдання LII Всеукраїнської учнівської олімпіади з математики". , 58 p. - 2012
      • Г.Шевченко "LIII Міжнародна математична олімпіада". , 61 p. - 2012
      • Мішура Ю.С., Шевченко Г.М. "Математика фінансів". , 350 p. - 2011
      • Yu. Mishura, G. Shevchenko "Mathematics of Finance". IPC "Kyiv University", 352 p. - 2009
      • O. Borisenko, V. Radchenko, Yu. Mishura, G. Shevchenko "Collected problems in financial mathematics, 2nd ed". IPC "Kyiv University", 256 p. - 2008
      • O. Vasylyk, M. Kartashov, G. Shevchenko, R. Yamnenko "Probability theory: instructional guidelines for labs and practicals". IPC "Kyiv University", 60 p. - 2008
      • O. Borisenko, V. Radchenko, Yu. Mishura, G. Shevchenko "Collected problems in financial mathematics". IPC "Kyiv University", 252 p. - 2007
      • O. Borisenko, V. Radchenko, Yu. Mishura, G. Shevchenko "Collected problems in financial mathematics". Tekhnika, 256 p. - 2007

    • Articles
      • 2017
        • Yu. Mishura, G. Shevchenko "Small ball properties and representation results". Stochastic Processes and their Applications, Vol.127, Iss.1 pp. 20 - 36, - 2017
        • A. Iksanov, Z. Kabluchko, A. Marynych, G. Shevchenko "Fractionally integrated inverse stable subordinators". Stochastic Processes and their Applications, Vol.127, Iss.1 pp. 80 - 106, - 2017
        2016
        • T. Shalaiko, G. Shevchenko "Existence of density for solutions of mixed stochastic equations.". Stochastic and Infinite Dimensional Analysis (Editors: Ch. Bernido, M. Carpio-Bernido, M. Grothaus, T. Kuna, Maria João Oliveira, José Luís da Silva), pp. 281 - 300, - 2016
        • L. Pryhara, G. Shevchenko "Approximations for a solution to stochastic heat equation with stable noise". Modern Stochastics: Theory and Applications, Vol.3, Iss.2 pp. 133 - 144, - 2016
        • L. Pryhara, G. Shevchenko "Stochastic wave equation in a plane driven by spatial stable noise". Modern Stochastics: Theory and Applications, Vol.3, Iss.3 pp. 237 - 248, - 2016
        • I. Bodnarchuk, G. Shevchenko "Heat equation in a multidimensional domain with a general stochastic measure". Theory of Probability and Mathematical Statistics, - 2016
        2015
        • Mishura Yu., Shalaiko T., Shevchenko G. "Convergence of solutions of mixed stochastic delay differential equations with applications". Appl. Math. Comput. , Vol.257, Iss. pp. 487 - 297, - 2015
        • Melnikov A., Mishura Yu., Shevchenko G. "Stochastic viability and comparison theorems for mixed stochastic differential equations". Methodol. Comput. Appl. Probab., Vol.17, Iss.1 pp. 169 - 188, - 2015
        • Shevchenko G., Viitasaari L. "Adapted integral representations of random variables". Int. J. Mod. Phys. Conf. Ser, Vol.36, Iss. - 2015
        • M. Dozzi, Yu. Mishura, G. Shevchenko "Asymptotic behavior of mixed power variations and statistical estimation in mixed models". Statistical Inference for Stochastic Processes, Vol.18, Iss.2 pp. 151 - 175, - 2015 Зовнішнє посилання
        2014
        • G.Shevchenko "Mixed fractional stochastic differential equations with jumps". Stochastics: An International Journal of Probability and Stochastic Processes, V. 86,, pp. 203 - 217, - 2014 Зовнішнє посилання
        • G. Shevchenko, Yu. Mishura, K. Ralchenko, O. Seleznev "Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion". Modern Stochastics and Applications Springer Optimization and Its Applications V. 90, pp. 303 - 318, - 2014 Зовнішнє посилання
        • Shklyar S., Shevchenko G., Mishura Yu., Doroshenko V., Banna O "Approximation of fractional Brownian motion by martingales". Methodol. Comput. Appl. Probab., Vol.16, Iss.3 pp. 539 - 560, - 2014
        • Shevchenko G., Viitasaari L. "Integral Representation with Adapted Continuous Integrand with Respect to Fractional Brownian Motion ". Stoch. Anal. Appl., Vol.32, Iss.6 pp. 934 - 943, - 2014
        2013
        • G.Shevchenko "Mixed stochastic delay differential equations". Теорія ймовірностей і математична статистика, № 89, pp. 169 - 182, - 2013 Зовнішнє посилання
        • G.Shevchenko,Shalaiko T.O. "Malliavin regularity of solutions to mixed stochastic differential equations". Statistics and Probability Letters, V. 83, no. 12, pp. 2638 - 2646, - 2013 Зовнішнє посилання
        • Г.Шевченко, Перестюк М.О. Мішура Ю.С. "Про розподіл локального часу однорідного дифузійного процесу". Доповіді НАН України. Серія Математика. № 10, pp. 29 - 35, - 2013
        • Г.Шевченко "Інтегрованість розв'язків змішаних стохастичних диференціальних рівнянь". Український математичний вісник, Т. 10, № 4, pp. 559 - 574, - 2013
        • G.Shevchenko "Local times for multifractional square Gaussian processes". Вісник Київського університету. Серія: фізико-математичні науки, № 4, pp. 27 - 31, - 2013 Зовнішнє посилання
        2012
        • G.Shevchenko,Ralchenko K.V. "Smooth approximations for fractional and multifractional fields". Random Operators and Stochastic Equations, V. 20, no. 3, , pp. 209 - 232, - 2012 Зовнішнє посилання
        • G.Shevchenko,Mishura Yu.S. "Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions". Сomputers and Mathematics with Applications, V. 64, no. 10, pp. 3217 - 3227, - 2012 Зовнішнє посилання
        • G.Shevchenko,Mishura Yu.S. Valkeila E. "Random variables as pathwise integrals with respect to fractional Brownian motion". Stochastic Processes and Their Applications, V. 123, no. 6, pp. 2353 - 2369, - 2012 Зовнішнє посилання
        2011
        • Dozzi, M., Shevchenko, G. "Real harmonizable multifractional stable process and its local properties". Stoch. Proc. Appl, Volume 121, Issue 7, pp. 1509 - 1523, - 2011
        • Y. Mishura, G. Shevchenko "Existence and uniqueness of solution of stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index H є (1/2,1)". Communications in Statistics Theory and Methods. V.40, № 19-20, pp. 3492 - 3508, - 2011
        • А. Мороз, Г. Шевченко "Структура області зупинки в моделі Леві". Теорія ймовірностей та математична статистика, вип. 84, pp. 102 - 110, - 2011
        • Y. Mishura, G. Shevchenko "The rate of convergence of Euler scheme to the solution of mixed stochastic differential equation involving Brownian and fractional Brownian motions". Random Operators and Stochastic Equations, v.19, №4, - 2011
        • Г.М. Шевченко "Локальні властивості мультидробового стійкого поля". Теорія ймовірностей та математична статистика. Випуск 85, - 2011
        2010
        • Шевченко Г.М. "Про сталу, пов'язану з опціонами Американського типу". Теорія ймовірн. та математична статистика, Вип. 82 , - 2010
        • Шевченко Г.М. "Властивості траєкторій мультидробового процесу Розенблата". Теорія ймовірн. та математична статистика, Вип. 83, - 2010
        2009
        • Yu. Mishura, G. Shevchenko, Yu. Yukhnovsky "Functional limits theorems for stochastic integrals with applications to risk processes and to self-finacing strategies capitals on multidimensional market. I". Teor. Imovir. Mat. Stat., no. 81, pp. 114 - 127, - 2009
        • Yu. Mishura, G. Shevchenko "The optimal time to exchange one asset for another on finite interval". In: Delbaen, Freddy (ed.) et al., Optimality and Risk - Modern Trends in Mathematical Finance, The Kabanov Festschrift., pp. 197 - 210, - 2009
        • G. Shevchenko "Arbitrage in a model with a proportional tax on the portfolio value". Teor. Imovir. Mat. Stat., no. 81, pp. 155 - 163, - 2009
        • G. Shevchenko, A. Moroz "Optimal stopping problem for processes with independent increments". Ukr. Math. Bulletin 6, no. 1, pp. 121 - 129, - 2009
        • K. Ralchenko, G. Shevchenko "Path properties of the multifractional Brownian motion". Teor. Imovir. Mat. Stat., no. 80, pp. 106 - 116, - 2009
        2008
        • O. Soloveiko, G. Shevchenko "On the rate of convergence of barrier option prices in binomial market model to those in continuous market model". Theory Stoch. Proc. 14(30), no. 3-4, pp. 165 - 173, - 2008
        • Yu. Mishura, G. Shevchenko "The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion". Stochastics 80, pp. 489 - 511, - 2008
        • Yu. Mishura, S. Posashkova, G. Shevchenko "Properties of solutions to stochastic differential equations with inhomogeneous coefficients and non-Lipschitz diffusion". Teor. Imovir. Mat. Stat., no. 79, pp. 105 - 113, - 2008
        • O. Soloveiko, G. Shevchenko "On the rate of convergence of prices of barrier options with discrete and continuous time ". Teor. Imovir. Mat. Stat., no. 79, pp. 155 - 161, - 2008
        • Yu. Mishura, G. Shevchenko "Approximate solutions to anticipative stochastic differential equations". Stat. Probab. Lett. 78, No. 1, pp. 60 - 66, - 2008
        • G. Shevchenko "On a generalization of Milstein's theorem". Teor. Imovir. Mat. Stat., no. 78, pp. 175 - 183, - 2008
        2007
        • Yu. Mishura, G. Shevchenko "Approximate Solution of Stochastic Differential Equations: Monograph". , - 2007
        • Yu. Mishura, P. Shelyazhenko, G. Shevchenko "Bounded arbitrage for multi-period model of financial market with discrete time". Teor. Imovir. Mat. Stat., no. 77, pp. 122 - 132, - 2007
        • Yu. Mishura, G. Shevchenko "On differentiability of solution to stochastic differential equation with fractional Brownian motion". Theory Stoch. Proc. 13(29), no. 1-2, pp. 243 - 250, - 2007
        • Yu. Mishura, G. Shevchenko "Approximation schemes for stochastic differential equations in Hilbert space". Theory Probab. Appl. 51, no. 3, pp. 476 - 495, - 2007
        2006
        • A. Kukush, Yu. Mishura, G. Shevchenko "On reselling of European option". Theory Stoch. Proc. 12(28), no. 1-2, pp. 75 - 87, - 2006
        2005
        • G. Shevchenko "Approximate integration of stochastic differential equations in a Hilbert space". Dopov. Nats. Akad. Nauk Ukr. Mat. Prirodozn. Tekh. Nauky, no. 1, pp. 39 - 46, - 2005
        • G. Shevchenko "Euler approximation for anticipating stochastic quasilinear differential equation". Teor. Imovir. Mat. Stat., no. 72, pp. 150 - 157, - 2005
        2004
        • Yu. Mishura, G. Shevchenko " Linear equations and stochastic exponentials in a Hilbert space". Teor. Imovir. Mat. Stat., no. 71, pp. 123 - 132, - 2004
        • Yu. S. Mishura; H. M. Shevchenko "Euler Approximations of Solutions of Abstract Equations and Their Applications in the Theory of Semigroups". Ukrainian Mathematical Journal, pp. 489 - 503, - 2004
        2003
        • G. Shevchenko "Rate of convergence of discrete approximations of solutions to stochastic differential equations in a Hilbert space". Teor. Imovir. Mat. Stat., no. 69, pp. 172 - 183, - 2003
        • G. Shevchenko "On multidimensional generalized diffusion processes". Ukrainian Math. J. 55, no. 9, pp. 1291 - 1296, - 2003
        2002
        • G. Shevchenko "On a generalized diffusion process with a drift that is the generalized derivative of a singular function". Proceedings of Ukrainian Mathematical Congress-2001, pp. 139 - 148, - 2002
        2001
        • G. Shevchenko "On the distribution of the sojourn times of a Brownian motion process on a pencil of rays". Teor. Imovir. Mat. Stat., no. 63, pp. 145 - 155, - 2001

      First name: Georgiy
      Surname: Shevchenko
      Place of birth: Sevastopol, Crimea
      Citizenship: Ukraine
      Address:
      Department of Probability Theory, Statistics and Actuarial Mathematics,
      Taras Shevchenko National University of Kyiv,
      Volodymyrska 64, Kyiv 01601, Ukraine

      E-mail: zhora@univ.kiev.ua
      Tel: (+380-44) 259-03-92
      Fax: (+380-44) 259-03-92
      Languages: Ukrainian, Russian and English
      Current position:
      Professor of the Department of Probability Theory, Statistics and Actuarial Mathematics at Kyiv University