A
Alexander Novikov
Researcher at University of Technology, Sydney
Publications - 110
Citations - 1597
Alexander Novikov is an academic researcher from University of Technology, Sydney. The author has contributed to research in topics: Fractional Brownian motion & Martingale (probability theory). The author has an hindex of 23, co-authored 104 publications receiving 1490 citations. Previous affiliations of Alexander Novikov include University of Melbourne & Russian Academy of Sciences.
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Approximations of boundary crossing probabilities for a Brownian motion
TL;DR: In this article, the Girsanov transformation is used to derive estimates for the accuracy of piecewise approximations for one-sided and two-sided boundary crossing probabilities using repeated numerical integration.
Journal ArticleDOI
On some maximal inequalities for fractional Brownian motions
Alexander Novikov,Esko Valkeila +1 more
TL;DR: In this paper, the authors extend the Burkholder-Davis-Gundy inequalities for fractional Brownian motions with respect to a certain Gaussian martingale in terms of beta kernels.