Alexander Veretennikov
- Chief Research Fellow:Laboratory of Stochastic Analysis and its Applications
- Alexander Veretennikov has been at HSE since 2012.
Education, Degrees and Academic Titles
- 1997Professor
- 1991
Doctor of Sciences* in Probability Theory and Mathematical Statistics
Steklov Mathematical Institute of the Russian Academy of Sciences - 1979
Candidate of Sciences* (PhD) in Probability Theory and Mathematical Statistics
Lomonosov Moscow State University
Thesis Title: Strong and weak solutions of stochastic differential equations - 1975
Degree
Lomonosov Moscow State University
According to the International Standard Classification of Education (ISCED) 2011, Candidate of Sciences belongs to ISCED level 8 - "doctoral or equivalent", together with PhD, DPhil, D.Lit, D.Sc, LL.D, Doctorate or similar. Candidate of Sciences allows its holders to reach the level of the Associate Professor.
A post-doctoral degree called Doctor of Sciences is given to reflect second advanced research qualifications or higher doctorates in ISCED 2011.
Academic Supervision
2017: совместно с А.Ю.Угловым подготовлен препринт ... Статья на основе препринта готовится к печати. Продолжаются исследования дискретного аналога полученных в препринте результатов.
Publications36
- Article Manita O. A., Veretennikov A. On convergence of 1D Markov diffusions to heavy-tailed invariant density // Moscow Mathematical Journal. 2019. Vol. 19. No. 1 (in press)
- Article Aivaliotis G., Veretennikov A. An HJB Approach to a General Continuous-Time Mean-Variance Stochastic Control Problem // Random Operators and Stochastic Equations. 2018. Vol. 26. No. 4. P. 225-234. doi
- Article Anulova S. V., Mai H., Veretennikov A. On averaged expected cost control as reliability for 1D ergodic diffusions // Reliability: Theory & Applications. 2017. Vol. 12. No. 4(47). P. 31-38. doi
- Article Veretennikov A. On convergence rate for Erlang--Sevastyanov type models with infinitely many servers // Theory of Stochastic Processes. 2017. No. 1. P. 88-102.
- Chapter Veretennikov A. On mean-field GI/GI/1 queueing model:existence and uniqueness, in: Аналитические и вычислительные методы в теории вероятностей и её приложениях (АВМТВ-2017) = Analytical and Computational Methods in Probability Theory and its Applications (ACMPT-2017) : Proceedings, 23-27 October 2017. M. : RUDN, 2017. P. 182-186. (in press)
- Article Bogachev V., Shaposhnikov S., Veretennikov A. Differentiability of solutions of stationary Fokker-Planck-Kolmogorov equations with respect to a parameter // Discrete and Continuous Dynamical Systems. 2016. Vol. 36. No. 7. P. 3519 -3543. doi
- Article Veretennikov A. On Poisson equations with a potential in the whole space for ``ergodic" generators // Теорiя Ймовiрностей та Математична Статистика. 2016. Vol. 95. P. 178-188.
- Chapter Veretennikov A., Zverkina G. On Polynomial Bounds of Convergence for the Availability Factor, in: Distributed Computer and Communication Networks. 18th International Conference, DCCN 2015, Moscow, Russia, October 19-22, 2015, Revised Selected Papers Vol. 601. Switzerland : Springer, 2016. doi P. 358-369. doi
- Article Veretennikov A. On Recurrence and Availability Factor for Single–Server System With General Arrivals // Reliability: Theory & Applications. 2016. Vol. 11. No. 3(42). P. 49-58.
- Article Veretennikov A., Veretennikova E. On partial derivatives of multivariate Bernstein polynomials / Пер. с рус. // Siberian Advances in Mathematics. 2016. Vol. 26. No. 4. P. 231-242.
- Article Veretennikov A., Kleptsyna M. On robustness of discrete time optimal filters // Mathematical Methods of Statistics. 2016. Vol. 25. No. 3. P. 207-218. doi
- Article Da Prato G., Flandoli F., Röckner M., Veretennikov A. Strong uniqueness for SDEs in Hilbert spaces with nonregular drift // Annals of Probability. 2016. Vol. 44. No. 3. P. 1985-2023. doi
- Book Веретенникова Е. В., Веретенников А. Ю. Некоторые главы анализа и приложение к финансовой математике (2е изд.). М. : Прометей, 2016.
- Preprint Veretennikov A., Aivaliotis G. An HJB Approach to a General Continuous-Time Mean-Variance Stochastic Control Problem / Cornell University. Series cond-mat "arxiv.org". 2015. (in press)
- Preprint Veretennikov A., Zverkina G. ON POLYNOMIAL CONVERGENCE RATE OF THE AVAILABILITY FACTOR TO ITS STATIONARY VALUE / Institute for Control Problems, Moscow. Series Abstracts of communications, "DISTRIBUTED COMPUTER AND COMMUNICATION NETWORKS (DCCN-2015):'' CONTROL, COMPUTATION, COMMUNICATIONS "DCCN 2015". 2015. (in press)
- Preprint Veretennikov A., Veretennikova E. On convergence of partial derivatives of multivariate Bernstein polynomials / Cornell University. Series "Working papers by Cornell University". 2015. (in press)
- Chapter Veretennikov A., Zverkina G. On polynomial convergence rate of the availability factor to its stationary value, in: DISTRIBUTED COMPUTER AND COMMUNICATION NETWORKS: CONTROL, COMPUTATION, COMMUNICATIONS (DCCN-2015), proceedings of the eighteenth international scientific conference. M. : -, 2015. (in press)
- Article Богачев В. И., Веретенников А. Ю., Шапошников С. В. Дифференцируемость инвариантных мер диффузий по параметру // Доклады Академии Наук. Математика. 2015. Т. 460. № 5. С. 507-511.
- Article Веретенников А. Ю., Веретенникова Е. В. О частных производных многомерных полиномов Бернштейна // Математические труды. 2015. Т. 18. № 2. С. 22-38. (in press)
- Article Веретенников А. Ю., Анулова С. В. Экспоненциальная сходимость многомерных стохастических механических систем с переключающими импульсными воздействиями // Доклады Академии Наук. Математика. 2015. Т. 460. № 4. С. 377-380.
- Chapter Veretennikov A., Anulova S. Exponential Convergence of degenerate Hybrid Stochastic Systems with full Dependence, in: Modern Stochastics and Applications Vol. Springer, Optimization and Its Applications. Switzerland: Springer, 2014. P. 159-174.
- Article Veretennikov A., Abu-Shanab R. On asymptotic Borovkov-Sakhanenko inequality with unbounded parameter set // Теорія ймовірностей і математична статистика. 2014. Vol. 90. P. 1-12.
- Preprint Veretennikov A. On convergence rate for Erlang--Sevastyanov type models with infinitely many servers / Cornell University. Series cond-mat "arxiv.org". 2014.
- Article Veretennikov A. On rate of convergence for infinite server Erlang--Sevastyanov's problem // Queueing Systems. 2014. Vol. 76. No. 2. P. 181-203.
- Article Veretennikov A., Zverkina G. Simple Proof of Dynkin’s Formula for Single-Server Systems and Polynomial Convergence Rates // Markov Processes and Related Fields. 2014. Vol. 20. No. 3. P. 479-504.
- Preprint Veretennikov A., Da Prato G., Flandoli F., Roeckner M. Strong uniqueness for SDEs in Hilbert spaces with non-regular drift / Cornell University. Series cond-mat "arxiv.org". 2014. No. arXiv:1404.5418.
- Chapter Veretennikov A., Anulova S., Shcherbakov P. Exponential Convergence of Multi-Dimensional Stochastic Mechanical Systems with Switching, in: Proc. 52nd IEEE Conference on Decision and Control, December 10-13, Florence, Italy, 2013. Florence : IEEE, 2013. P. 1217-1222.
- Article Veretennikov A., Butkovsky O. On asymptotics for Vaserstein coupling of Markov chains // Stochastic Processes and their Applications. 2013. Vol. 123. No. 9. P. 3518-3541.
- Article Veretennikov A. On large deviations in the averaging principle for SDE’s with a ``full dependence’’, revisited // Discrete and Continuous Dynamical Systems - Series B. 2013. Vol. 18. No. 2. P. 523-549.
- Preprint Veretennikov A. On rate of convergence for infinite server Erlang-Sevastyanov's problem / Cornell University. Series cond-mat "arxiv.org". 2013. No. arXiv:1310.5973v2.
- Preprint Veretennikov A., Zverkina G. Simple proof of Dynkin's formula for single-server systems and polynomial convergence rates / Cornell University. Series math "arxiv.org". 2013. No. arXiv:1306.2359v2.
- Article Веретенников А. Ю. О скорости сходимости к стационарному распределению в системах обслуживания с одним прибором // Автоматика и телемеханика. 2013. № 10. С. 23-35.
- Article Веретенников А. Ю., Кулик А. М. Диффузионная аппроксимация систем со слабо эргодичскими марковскими возмущениями I // Теорія ймовірностей і математична статистика. 2012. Т. 87. С. 1-16.
- Book Веретенников А. Ю., Веретенникова Е. В. Математика, информатика, физика в науке и образовании, сб. научн. трудов к 140-летию МПГУ. М. : Прометей (МПГУ), 2012.
- Chapter Веретенников А. Ю., Веретенникова Е. В. О сходимости частных производных многомерных полиномов Бернштейна // В кн.: Математика, информатика, физика в науке и образовании, сб. научн. трудов к 140-летию МПГУ. М. : Прометей (МПГУ), 2012. С. 39-42.
- Article Веретенников А. Ю., Клоков С. А. Об условиях локального перемешивания для аппроксимаций стохастических дифференциальных уравнений // Теория вероятностей и ее применения. 2012. Т. 57. № 1. С. 35-61.
Conferences
September 3 - September 7, 2018, Bielefeld, Germany, The 9th International Conference on Stochastic Analysis and Applications (ICSAA 2018), https://www.math.uni-bielefeld.de/icsaa/ [invited talk "On Poisson equations"]
July 5 - July 9, 2018, Taipei, Taiwan, The 12th AIMS Conference on Dynamical Systems, Differential Equations and Applications, http://www.aimsciences.org/conferences/2018/ [two invited talks: (1) Section SS23 Stochastic Partial Differential Equations, talk " On convergence of discretisations for filtering SPDEs", & (2) Section SS74 Perturbation Techniques in Stochastic Analysis and Its Applications, talk "On solutions of McKean-Vlasov equations with irregular coefficients"]
July 2, 2018 -- July 6, 2018, 12th International Vilnius Conference on Probability Theory and Mathematical Statistics and 2018 IMS Annual Meeting on Probability and Statistics (Vilnius, Lithuania), http://ims-vilnius2018.com/ [invited talk "On solutions of McKean-Vlasov stochastic differential equations"]
June 14 - June 15, 2018, London, The Alan Turing Institute, workshop "Analysis of Adaptive Stochastic gradient and MCMC algorithms",
https://www.turing.ac.uk/events/analysis-adaptive-stochastic-gradient-and-mcmc-algorithms [invited talk " On robust filtering for ergodic markovian signals"]
June 04 - June 05, 2018, Moscow, The International conference "LSA Summer meeting", https://lsa.hse.ru/en/news/219850408.html [invited talk "On robust filtering for Markov chain"]
October 23-27 2017 Moscow ACMPT2017 http://acmpt.ru/ [invited talk On mean-field GI/GI/1 queueing model]
September 2017, “Singular McKean-Vlasov Dynamics” Inria Sophia 14-15 septembre, https://team.inria.fr/tosca/current-events-2/seminars-events-sophia/workshop-singular-mckean-vlasov-dynamics-inria-sophia-14-15-septembre-2017-exposes/ [invited talk On existence and uniqueness of solutions of McKean-Vlasov equations]
July 2017 Moscow SPA2017 http://spa2017.org/ [session organiser "Applied models based on stochastic differential equations "; talk "Averaged control for 1D ergodic diffusions"]
May-June 2017, Edinburgh, Workshop Nonlinear PDEs, stochastic control and filtering: new methods and applications, May 29, 2017 - June 02, 2017 http://www.icms.org.uk/workshop.php?id=422, invited talk «On Poisson equations in the whole space»
April 2017 Modena, Italy, Modena and Reggio Emilia University, 10-11 April, workshop Kolmogorov-Fokker-Planck Equations: theoretical issues and applications, http://www.kfp2017.unimore.it/ [invited talk "On Poisson equations with potentials in the whole space"]
March 2017 Spring School in Advanced Probability
"Stochastic equations and random walks on graphs" Novosibirsk State University, 2017, March 13-17 http://math.nsc.ru/LBRT/v1/school2-2017/ [talk and mini-course on Stochastic Equations]
October 2016:co-organiser of a conference "Stochastic analysis of dynamical systems, stochastic control and games", Leeds, UK, 24th - 26th October 2016
August 2016: participant at a VIth CONFERENCE Modern Problems in Theoretical and Applied Probability, RUSSIA, NOVOSIBIRSK
AUGUST 22-28, 2016 [the talk "Of averaged control for 1D ergodic diffusion", joint with S. Anulova and H. Mai]
July 2016: participant at a 7th European Congress of Mathematics, Berlin, 18-22 July [the talk "Direct approach to diffusion filtering SPDEs"]
May-June 2016: participant at a conference ``Modern problems of Stochastic analysis and Statistics’’, May 30 – June 1, 2016, HSE, Moscow [the talk "On acceleration of convergence of Markov diffusion to polynomially decreasing invariant distribution", joint with O.A. Manita]
April 2016: participant at a Monash Probability Conference in Honor of Robert Liptser’s 80th Birthday, Prato, Italy, 26-29 April 2016 [the talk "On robust filtering for discrete time models", joint with M. Kleptsyna]
March 2016: participant at a conference ``Topics in stochastic regularization’’, 21-23 March 2016, Toulouse, France [the talk "On various aspects of stochastic regularization"]
August 2015: participant (lecturer) at a Summer Stochastic School of Bielefeld University, Germany, 11.08.2015-04.09.2015
July 2015: participant (invited lecturer) in a Workshop on Stochastic Evolution and Dynamics at Loughborough University, United Kingdom
'My Nickname at School Was 'Professor'. I Had to Live up to It'
Why do people become researchers and pursue careers in science? What is more important for them – self-fulfillment or financial incentives? On the day before Russia celebrated Science Day on Feb 8, HSE’s news service talked to researchers working at HSE about what motivated them to become scientists.
When Science Meets Art: Stochastic Analysis and Classical Music
In February-March 2014, the HSE launched six new international laboratories following a tender of three-year projects under the supervision of leading international researchers. One of the projects is the Laboratory of Stochastic Analysis and its Applications. The HSE News Service keeps on interviewing new staff members of the laboratory. This time Alexander Veretennikov, Leading Research Fellow at the Laboratory of Stochastic Analysis and its Applications, agreed to tell us about his work and plans at the HSE as well as about his hobbies.
