Professor Alexander Yu. Veretennikov

University of Leeds School of Mathematics Statistics

Research seminar in Statistics

Research seminar Probability, Stochastic modelling and Financial mathematics

VLE login WEB for faculty login Teaching info for staff Leedsforlife

Computer documentation Go Symplectic PhD students (on campus)

computer cluster access codes

Department of Statistics
University of Leeds
Leeds, West Yorkshire
LS2 9JT, UK
Tel: (+44) (113) 343 5183
Fax: (+44) (113) 343 5090
Email: veretenn @ maths.leeds.ac.uk

PhD/MSc courses and links

• Approximations for ergodic SDEs, Lecture notes 2004
• PG Training Autumn 2005/Spring 2006, Leeds
• Intro to MCs and Poisson equations (MAGIC autumn 2008)
• MAGIC065 (autumn 2010): Stochastic Processes
• MAGIC065 (autumn 2011): Stochastic Processes
• Some MSc and PhD projects (2011)
• Some further PhD projects (2011)

Seminar lectures

• Central Limit Theorem - 1
• Brownian Motion, intro for non-probabilists
• The talk on filtering on 15.06.2010 at International Newton Institute (video)

Research activities

• Stochastic Analysis
• Partial Differential Equations
• Applications to Theoretical Statistics
• Publication list with cv (2011)

Teaching

• MATH3723: Theoretical Statistics (N/A)
• MATH3733: Stochastic Financial Modelling (OLD VERSION 2008): the new handouts are on the VLE
• Projects/Assignments 2013-2014
• MATH3752,3753,5812 (projects - old codes; for new ones see the link above or the VLE pages)
• Current Tutorials (OLD 2009)
• MATH2750: Markov processes (OLD VERSION 2009): the more recent handouts 2011 are on the Blackboard
• MATH2750_2015
• Law of Large Numbers intro

Spring 2018 until 02.03.2018 (Office Maths 8.29)

Time	Monday	Tuesday	Wednesday	Thursday	Friday
9-10	MATH3733/LT24	Away all day	away	Tu-1712/even	MATH3733/LT24
10-11	away		MATH3733/ LT24	1712/8.42/ even
11-12	away			Working group	away
12-13	away				away
13-14	away
14-15	MATH3001/Sat3 odd weeks			seminar
15-16				(seminar)	Office hour (please, email!)
16-17	Office hour (please, email)

Preprints

1. On deterministic and stochastic sliding modes via small diffusion approximation, with Grigori Milstein
2. On polynomial mixing and convergence rate for stochastic difference and differential equations
3. Mixing and convergence rates for a family of Markov processes approximating SDEs, with Sergey Klokov
4. On ergodic measures for McKean-Vlasov stochastic equations
5. On ergodic measures for  McKean-Vlasov stochastic equations 2
6. On large deviations in the averaging principle for SDE's with ``full dependence'', correction
7. On discrete time ergodic filters with wrong initial data, with Marina Kleptsyna
8. On Bayesian asymptotic information inequality for unbounded parametric set ,
   with Reman Abu-Shanab, STAT09-02, http://www1.maths.leeds.ac.uk/Statistics/research/reports/2009/STAT09-02.pdf
9. On exponential mixing bounds and convergence rate for Student processes, with
   Niloufar Abourashchi, STAT09-03, http://www1.maths.leeds.ac.uk/Statistics/research/reports/2009/STAT09-03.pdf
10. On exponential bounds and convergence rate for Reciprocal Gamma diffusion processes, with Niloufar Abourashchi, STAT09-04, http://www1.maths.leeds.ac.uk/Statistics/research/reports/2009/STAT09-04.pdf
11. On mixing rate for degenerate 2D diffusion, with Niloufar Abourashchi, STAT08-06, http://www1.maths.leeds.ac.uk/Statistics/research/reports/2008/STAT08-06.pdf
12. On Bellman's equations for mean and variance control for a Markov diffusion, with
    Georgios Aivaliotis, STAT07-06a, to appear in Stochastics, http://www1.maths.leeds.ac.uk/Statistics/research/reports/2007/STAT07-06a.pdf
13. On Salieri, with A. A. Veretennikova (this is not about mathematics and it is in Russian)

PhD students

Dr Marina Kleptsyna – Moscow, Institute of Control Sciences and MIIT (Moscow University of Transport Engineering) – “On filtering of Ito-Volterra processes”, defended at Vilnius University, Lithuania, 1986; Current position: Professor at University of Maine/ Le Mans, France

Dr Niloufar Abourashchi – School of Mathematics, University of Leeds – “Stability of stochastic differential equations”, defended at University of Leeds, UK, 2009; Current position: Teaching Fellow, University College London

Dr Reman Abu-Shanab - School of Mathematics, University of Leeds – “Information inequalities and parameter estimation”, defended at University of Leeds, UK, 2009; Current position – Assistant professor at University of Bahrain

Dr Georgios Aivaliotis - School of Mathematics, University of Leeds – “Controlled Markov Diffusions and ”Mean-Variance” Optimisation”, defended at University of Leeds, UK, 2009; Current position – Lecturer at University of Leeds, UK

Current PhD students

Zeyu He

Spring 2018 from 05.03.2018 (Office Maths 8.29)

Time	Monday	Tuesday	Wednesday	Thursday	Friday
9-10	MATH3733/LT24	Away all day	away	Tu-1712/even	MATH3733/LT24
10-11	MATH3733/ LT03		MATH3733/ LT24	1712/8.42/ even
11-12	away		MATH3015/ LT24	Working group	away
12-13	12.03: MATH3733 practical				away
13-14	12.03: MATH3733 practical
14-15	MATH3001/Sat3 odd weeks			seminar
15-16	12.03: MATH3733 practical			(seminar)	Office hour (please, email!)
16-17	12.03: MATH3733 practical

I am away from 13 March 2018 to 15 April 2018

Some interests outside mathematics

• Music: here you may read about my sister, a pianist, with two examples of her recordings

• An example of my rafting/kayaking interests (in the past):

Oigaing-Pskem (it is not me on the video, but I was there earlier) (video @ WhiteWater.ru)

This page is maintained by A.Yu.Veretennikov and was last updated on 14 Feb 2018