Valentin Konakov
- Professor:Faculty of Economic Sciences / Department of Statistics and Data Analysis
- Laboratory Head:Laboratory of Stochastic Analysis and its Applications
- Programme Academic Supervisor:Statistical Modelling and Actuarial Science
- Tenured Professor (2016)
- Valentin Konakov has been at HSE since 2010.
Education and Degrees
- 1992
Doctor of Sciences* in Probability Theory and Mathematical Statistics
Lomonosov Moscow State University - 1973
Candidate of Sciences* (PhD) in Probability Theory and Mathematical Statistics
Moscow State Institute of Electronics and Mathematics - 1972
Postgraduate programme
Central Institute of Economics and Mathematics of the Russian Academy of Sciences - 1969
Diploma
Lomonosov Moscow State University
* Candidate of Sciences
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.
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.
* Doctor of Sciences
A post-doctoral degree called Doctor of Sciences is given to reflect second advanced research qualifications or higher doctorates in ISCED 2011.
A post-doctoral degree called Doctor of Sciences is given to reflect second advanced research qualifications or higher doctorates in ISCED 2011.
Courses (2017/2018)
- Estimation and Forecasting in Partially Observed Stochastic Models (Master’s programme; Faculty of Economic Sciences; programme "Statistical Modelling and Actuarial Science"; 2 year, 1, 2 module)Rus
- Random Processes and Modeling (Master’s programme; Faculty of Economic Sciences; programme "Statistical Modelling and Actuarial Science"; 1 year, 3, 4 module)Rus
- Research Seminar (Master’s programme; Faculty of Economic Sciences; programme "Statistical Modelling and Actuarial Science"; 1 year, 2-4 module)Rus
- Past Courses
Courses (2016/2017)
- Random Processes and Modeling (Master’s programme; Faculty of Economic Sciences; programme "Statistical Modelling and Actuarial Science"; 1 year, 3, 4 module)Rus
- Research Seminar (Master’s programme; Faculty of Economic Sciences; programme "Statistical Modelling and Actuarial Science"; 1 year, 2-4 module)Rus
Courses (2015/2016)
- Advanced Econometrics (Master’s programme; Faculty of Economic Sciences; programme "Statistical Analysis of Economic and Social Processes"; 2 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Optional course (faculty); Faculty of Mathematics; programme "ФАКУЛЬТАТИВЫ факультета математики"; 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Optional course (faculty); Faculty of Mathematics; programme "ФАКУЛЬТАТИВЫ факультета математики"; 3, 4 module)Rus
Courses (2014/2015)
Foreign Language (English) (Bachelor’s programme; Faculty of Economic Sciences; programme "Economics and Statistics"; spec. "Экономика и статистика"; 4 year, 4 module)Rus
- Malliavin Calculus and its Applications in Finance (Master’s programme; Faculty of Economic Sciences; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 1-3 module)Rus
- Malliavin Calculus and its Applications in Finance (Master’s programme; Faculty of Economic Sciences; programme "Statistical Analysis of Economic and Social Processes"; 2 year, 1-3 module)Rus
- Random Processes and Modeling (Master’s programme; Faculty of Economic Sciences; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Master’s programme; Faculty of Mathematics; programme "Mathematics"; 1 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Master’s programme; Faculty of Mathematics; programme "Mathematics"; 1 year, 3, 4 module)Rus
Courses (2013/2014)
- Econometrics (Advanced level) (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 3, 4 module)Rus
- Econometrics (Advanced level) (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 2 year, 1, 2 module)Rus
- Malliavin Calculus and its Applications in Finance (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 1-3 module)Rus
- Malliavin Calculus and its Applications in Finance (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 2 year, 1-3 module)Rus
- Random Processes and Modeling (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 1, 2 module)Rus
Courses (2012/2013)
- Econometrics (Advanced Level, Econometrics 2) (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 3, 4 module)Rus
- Econometrics (Advanced Level, Econometrics 2) (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 2 year, 1, 2 module)Rus
- Problems of the Statistical Analysis of Social and Economic Processes (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 2 year, 1-4 module)Rus
- Random Processes and Modeling (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Master’s programme; Faculty of Mathematics; programme "Mathematical Physics"; 1 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Master’s programme; Faculty of Mathematics; programme "Mathematics"; 1 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Bachelor’s programme; Faculty of Mathematics; 4 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Bachelor’s programme; Faculty of Mathematics; 1 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Bachelor’s programme; Faculty of Mathematics; 3 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Bachelor’s programme; Faculty of Mathematics; 2 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Master’s programme; Faculty of Mathematics; programme "Algebra"; 2 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Master’s programme; Faculty of Mathematics; programme "Mathematical Physics"; 1 year, 3, 4 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Master’s programme; Faculty of Mathematics; programme "Mathematics"; 1 year, 3, 4 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Bachelor’s programme; Faculty of Mathematics; 4 year, 3, 4 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Bachelor’s programme; Faculty of Mathematics; 1 year, 3, 4 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Bachelor’s programme; Faculty of Mathematics; 3 year, 3, 4 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Bachelor’s programme; Faculty of Mathematics; 2 year, 3, 4 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Master’s programme; Faculty of Mathematics; programme "Algebra"; 2 year, 3, 4 module)Rus
Courses (2011/2012)
- Econometrics (Advanced Level, Econometrics 2) (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 2 semester)Rus
- Econometrics (Advanced Level, Econometrics 2) (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 2 year, 1 semester)Rus
- Probability Theory (Bachelor’s programme; Faculty of Mathematics; 4 year, 1-3 module)Rus
- Probability Theory (Bachelor’s programme; Faculty of Mathematics; 3 year, 1-4 module)Rus
- Problems of the Statistical Analysis of Social and Economic Processes (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 2 year, 1, 2 semester)Rus
- Random Processes and Modeling (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 1 semester)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications" (Bachelor’s programme; Faculty of Mathematics; 4 year, 1-4 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications" (Bachelor’s programme; Faculty of Mathematics; 1 year, 1-4 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications" (Bachelor’s programme; Faculty of Mathematics; 3 year, 1-4 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications" (Bachelor’s programme; Faculty of Mathematics; 2 year, 1-4 module)Rus
Courses (2010/2011)
- Econometrics II (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 2 semester)Rus
- Methods of Applied Statistics and Econometrics (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 1 semester)Rus
- Problems of the Statistical Analysis of Social and Economic Processes (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 1, 2 semester)Rus
- Random Processes and Modeling (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 1 semester)Rus
Editorial board membership
1994: Member of the Editorial Board, Mathematical Methods of Statistics (Mathematical Methods of Statistics ).
Conferences
- 2012
Université Evry Val d’Essone "Séminaire des probabilités" (Париж). Presentation: Statistical convergence of Markov experiments
V I Международная школа-симпозиум "Анализ, Моделирование, Управление, Развитие экономических систем (АМУР-2012) (Севастополь). Presentation: Некоторые методы оценивания параметров моделей со стохастической волатильностью
- 2010
Kolmogorov Equations in Physics and Finance (Модена). Presentation: Discrete “parametrix” method and its applications
CREST and Sakigake International Symposium (Токио). Presentation: Discrete "paramerix" method
Publications
20174
- Article Konakov V., Kozhina A., Menozzi S. Stability of Densities for Perturbed Diffusions and Markov Chains // ESAIM: Probability and Statistics. 2017. Vol. 21. P. 88-112. doi
- Preprint Konakov V., Menozzi S., Molchanov S. The Brownian motion on Aff(R) and qusai-local theorems / Cornell University. Series arxive "math". 2017. No. 1709.06411.
- Article Konakov V., Menozzi S. Weak error for the Euler scheme approximation of diffusions with non-smooth coefficients // Electronic Journal of Probability. 2017. Vol. 22. P. 1-47. doi
- Article Конаков В. Д., Маркова А. Р. Процедура исключения нелинейного тренда для моделей, описываемых стохастическими дифференциальными и разностными уравнениями // Автоматика и телемеханика. 2017. № 8. С. 100-112.
20166
- Preprint Davydov Y., Konakov V. Random walks in non homogeneous Poissonian environment / Cornell University. Series math "arxiv.org". 2016. No. 1609.07066.
- Preprint Konakov V., Kozhina A., Menozzi S. Stability of densities for perturbed Diffusions and Markov Chains / Cornell University. Series arxive "math". 2016. No. 1506.08758v2.
- Article Konakov V., Panov V. Sup-norm convergence rates for Levy density estimation // Extremes. 2016. Vol. 19. No. 3. P. 371-403. doi
- Article Kelbert M., Konakov V., Menozzi S. Weak error for Continuous Time Markov Chains related to fractional in time P(I)DEs // Stochastic Processes and their Applications. 2016. Vol. 126. P. 1145-1183. doi
- Preprint Konakov V., Menozzi S. Weak error for the Euler scheme approximation of diffusions with non-smooth coefficients / Cornell University. Series math "arxiv.org". 2016. No. 1604.00771v2.
- Preprint Конаков В. Д., Маркова А. Р. Процедура исключения нелинейного тренда для моделей, описываемых стохастическими дифференциальными и разностными уравнениями / Cornell University. Серия math "arxiv.org". 2016. № 1610.08715.
20154
- Preprint Конаков В. Д., Мозгунов П. А. Limits of Kalman Filter application in heavy tailed problems / Cornell University. Серия math "arxiv.org". 2015. № 1505.07981.
- Article Konakov V., Markova A. Linear trend exclusion for models defined with stochastic differential and difference equations // Automation and Remote Control. 2015. Vol. 76. No. 10. P. 1771-1783. doi
- Preprint Kelbert M., Konakov V., Menozzi S. Weak Error for Continuous Time Markov Chains Related to Fractional in Time P(I)DE{s} / Cornell University. Series math "arxiv.org". 2015. No. 1505.04610.
- Article Конаков В. Д., Маркова А. Р. Процедура исключения линейного тренда для моделей, описываемых стохастическими дифференциальными и разностными уравнениями // Автоматика и телемеханика. 2015. № 10. С. 74-89.
20144
- Preprint Konakov V., Panov V. Convergence rates of maximal deviation distribution for projection estimates of L\'evy densities / Cornell University. Series math "arxiv.org". 2014. No. 1411.4750.
- Preprint Konakov V., Markova A. Local limit theorems for Markov chains with trend component of linear growth / Cornell University. Series math "arxiv.org". 2014. No. 1412.1607v1.
- Article Konakov V., Mammen E., Woerner J. Statistical convergence of Markov experiments to diffusion limits // Bernoulli: a journal of mathematical statistics and probability. 2014. Vol. 20. No. 2. P. 623-644. doi
- Article Konakov V., Woerner J., Mammen E. Статистическая сходимость Марковских экспериментов к диффузионному пределу // Bernoulli: a journal of mathematical statistics and probability. 2014. Vol. 20. No. 2. P. 623-644.
20121
Preprint Конаков В. Д. Метод параметрикса для диффузий и цепей Маркова / Издательство попечительского совета механико-математического факультета МГУ. Серия WP BRP "STI". 2012. № 2012.
20111
Article Konakov V., Menozzi S. Weak error for stable driven SDES: expansion of the densities // Journal of Theoretical Probability. 2011. Vol. 24. No. 2. P. 454-478.
20101
Article Konakov V., Menozzi S., Molchanov S. Explicit parametrix and local limit theorems for some degenerate diffusion processes // Annales de l’Institut Henri Poincaré. 2010. Vol. 46. No. 4. P. 908-923.
20091
Article Konakov V., Mammen E. Small time Edgeworth-type expansions for weakly convergent nonhomogeneous Markov chains // Probability Theory and Related Fields. 2009. Vol. 143. No. 1. P. 137-176.
20051
Article Konakov V., Mammen E. Edgeworth type expansions for transition densities of Markov chains converging to diffusions // Bernoulli: a journal of mathematical statistics and probability. 2005. Vol. 11. No. 4. P. 591-641.
20021
Article Konakov V., Menozzi S. Edgeworth type expansions for Euler schemes for stochastic differential equations. // Monte Carlo Methods and Applications. 2002. No. 8. P. 271-286.
20001
Article Konakov V., Mammen E. Local limit theorems for transition densities of Markov chains converging to diffusions // Probability Theory and Related Fields. 2000. Vol. 117. No. 4. P. 551-587.
ENSAE to Become a Strategic Partner of Statistical Modelling and Actuarial Science Master Program
The new master program Statistical Modelling and Actuarial Science is for students interested in mastering modern probability, statistics methodology, and modelling methods in economic processes, as well as mathematics of insurance theory. Core courses will be instructed by the members of the international Laboratory of Stochastic Analysis and its Applications.
New Tenured Professors at HSE
On April 29, 2016 at the Academic Council meeting 25 HSE Professors were conferred the status of Tenured Professor.
