Igor Cialenco, Ph.D.
Research & Accomplishments
Stochastic Processes, Stochastic PDEs, Statistical Inference for Stochastic PDEs, Application of Stochastic PDEs to Mathematical Finance, Operator Theory, Spectral Analysis, Functional Analysis.
Trajectory Fitting Estimators for SPDEs Driven by Additive Noise (with R. Gong and Y. Huang), Submitted, 2016. arXiv:1607.04912v1.
Recursive Construction of Confidence Regions (with T. R. Bielecki and T. Chen), Submitted, 2016. arXiv:1605.08010v1.
A Survey of Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time: LM-Measure Perspective (with T. R. Bielecki and M. Pitera), Submitted, 2016. arXiv:1603.09030v1.
A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time (with T. R. Bielecki and M. Pitera), Submitted, 2015. arXiv:1409.7028v2.
Dynamic Assessment Indices (with T. R. Bielecki, S. Drapeau and M. Karliczek), Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 88, No. 1, pp. 1-44, 2016. DOI:10.1080/17442508.2015.1026346
Dynamic Conic Finance via Backward Stochastic Difference Equations (with T. R. Bielecki and T. Chen), SIAM Journal of Financial Mathematics, Vol. 6, No. 1, pp. 1068-1122, 2015. DOI:10.1137/141002013
Dynamic Limit Growth Indices in Discrete Time (with T. R. Bielecki and M. Pitera), Stochastic Models, Vol. 31, Issue 3, pp. 494-523, 2015. DOI:10.1080/15326349.2015.1053616.
Hypothesis Testing for Stochastic PDEs Driven by Additive Noise (with Liaosha Xu), Stochastic Processes and Their Applications, Vol. 125, Issue 3, pp. 819-866, 2015. DOI:10.1016/j.spa.2014.09.022
No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs (with T. R. Bielecki and R. Rodriguez), Mathematical Finance, Vol. 25, No. 4, pp. 673-701, 2015.
A Note on Error Estimation for Hypothesis Testing Problems for Some Linear SPDEs (with Liaosha Xu), Stochastic Partial Differential Equations: Analysis and Computations, Vol. 2, No 3, pp. 408-431, 2014. DOI: 10.1142/S0219024913500027.
Dynamic Coherent Acceptability Indices and Their Applications to Finance (with T. R. Bielecki and Z. Zhang), Mathematical Finance, Vol. 23, No. 3, pp. 411-441, 2014. DOI:10.1111/j1467-9965.2012.00524.x
Finiteness of the Point Spectrum of Some Integro-Differential Operators (with M. M. Stanescu, D. Bolcu and I. Ciuca), University Politehnica of Bucharest Scientific Bulletin, Series A, Vol. 75, Issue 4, pp. 177-192, 2013.
Collateralized CVA Valuation with Rating Triggers and Credit Migrations (with T. R. Bielecki and I. Iyigunler), International Journal of Theoretical and Applied Finance, Vol. 16, No. 2, 2013. DOI:10.1142/S021902491350009X
Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices (with T. R. Bielecki, I. Iyigunler and R. Rodriguez), International Journal of Theoretical and Applied Finance, Vol. 16, No. 1, 2013. DOI:10.1142/S0219024913500027
Approximation of Stochastic Partial Differential Equations by a Kernel-Based Collocation Method (with G. E. Fasshauer and Q. Ye), International Journal of Computer Mathematics, Vol. 89, No. 18, pp. 2543-2561, 2012. DOI:10.1080/00207160.2012.688111
Counterparty Risk and the Impact of Collateralization in CDS Contracts (with T. R. Bielecki and I. Iyigunler), Stochastic Processes, Finance and Control: A Festschrift in Honor of Robert J. Elliott (Vol. 1, Advances in Statistics, Probability and Actuarial Sciences), Editors Samuel N. Cohen, Dilip Madan, Tak Kuen Siu, World Scientific, 2012.
Parameter Estimation for Stochastically Perturbed Navier-Stokes Equations (with N. Glatt-Holtz), Stochastic Processes and Their Applications, Vol. 121, Issue 4, pp. 701-724, 2011. DOI:10.1016/j.spa.2010.12.007
Do Technical Trading Profits Remain in the Foreign Exchange Market? Evidence from Fourteen Currencies (with A. Protopapadakis), Journal of International Financial Markets, Institutions & Money, Vol. 21, Issue 2, pp. 176-206, 2011. DOI:10.1016/j.intfin.2010.10.001
Parameter Estimations for SPDEs with Multiplicative Fractional Noise, Stochastics and Dynamics, Vol. 10, No. 4, pp. 561-576, 2010. DOI: 10.1142/S0219493710003091