Valentin Konakov
- Laboratory Head, Chief Research Fellow:Laboratory of Stochastic Analysis and its Applications
- Professor:Faculty of Economic Sciences / Department of Statistics and Data Analysis
- Tenured Professor (2016)
- Valentin Konakov has been at HSE University since 2010.
Education and Degrees
- 1992
Doctor of Sciences* in Probability Theory and Mathematical Statistics
Lomonosov Moscow State University - 1974
Candidate of Sciences* (PhD)
- 1973
Candidate of Sciences* (PhD) in Probability Theory and Mathematical Statistics
- 1972
Doctoral programme
Central Institute of Economics and Mathematics of the Russian Academy of Sciences - 1969
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.
Courses (2020/2021)
- Methodological Research Seminar (Master’s programme; Faculty of Economic Sciences; 1 year, 1, 2 module)Rus
- Random Processes and Modeling (Master’s programme; Faculty of Economic Sciences; 1 year, 3, 4 module)Rus
- Research Project Seminar (Optional course (faculty); Faculty of Economic Sciences; 1-3 module)Rus
- Research Seminar "Stochastic Analysis and its Applications in Economics 1" (Optional course (faculty); Faculty of Mathematics; 1, 2 module)Eng
- Research Seminar "Stochastic Analysis and its Applications in Economics 2" (Optional course (faculty); Faculty of Mathematics; 3, 4 module)Eng
- Past Courses
Courses (2019/2020)
- Random Processes and Modeling (Master’s programme; Faculty of Economic Sciences; 1 year, 3, 4 module)Rus
- Research Seminar (Master’s programme; Faculty of Economic Sciences; 1 year, 1-4 module)Rus
Courses (2018/2019)
- Random Processes and Modeling (Master’s programme; Faculty of Economic Sciences; 1 year, 3, 4 module)Rus
- Research Seminar (Master’s programme; Faculty of Economic Sciences; 1 year, 2-4 module)Rus
- Research Seminar of Master’s Programme 1 (Master’s programme; Faculty of Mathematics; 1 year, 1, 2 module)Eng
- Research Seminar of Master’s Programme 2 (Master’s programme; Faculty of Mathematics; 1 year, 3, 4 module)Eng
Courses (2017/2018)
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Optional course (faculty); Faculty of Mathematics; 1, 2 module)Eng
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Optional course (faculty); Faculty of Mathematics; 3, 4 module)Eng
Courses (2016/2017)
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Optional course (faculty); Faculty of Mathematics; 1, 2 module)Eng
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Optional course (faculty); Faculty of Mathematics; 3, 4 module)Eng
Courses (2015/2016)
- Advanced Econometrics (Master’s programme; Faculty of Economic Sciences; 2 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Optional course (faculty); Faculty of Mathematics; 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Optional course (faculty); Faculty of Mathematics; 3, 4 module)Rus
Editorial board membership
1994: Member of the Editorial Board, Mathematical Methods of Statistics (Mathematical Methods of Statistics ).
Festschrift
The book "Modern Problems of Stochastic Analysis and Statistics" devoted to my 70th anniversary, was published in Springer in 2017. Most contributions were prepared by my colleagues and friends, who participated in the jubilee conference.
Publications36
- Article Konakov V., Panov V., Piterbarg V. Extremes of a class of non-stationary Gaussian processes and maximal deviation of projection density estimates // Extremes. 2021 doi
- Preprint Bitter I., Konakov V. L1 and L∞ stability of transition densities of perturbed diffusions / Cornell University. Series arxive "math". 2021. No. 2104.00407.
- Article Frikha N., Konakov V., Menozzi S. Well-Posedness of Some Non-Linear Stable Driven SDEs // Discrete and Continuous Dynamical Systems. 2021. Vol. 41. No. 2. P. 849-898. doi
- Preprint Konakov V., Panov V., Piterbarg V. Extremes of Gaussian non-stationary processes and maximal deviation of projection density estimates / Cornell University. Series arxive "math". 2020. No. 2005.11249.
- Article Конаков В. Д., Фалалеев А. Сходимость некоторых классов случайных полетов в метрике Канторовича // Теория вероятностей и ее применения. 2020. Т. 65. № 4. С. 829-840. doi
- Preprint Falaleev A., Konakov V. Convergence of some classes of random flights in Wasserstein distance / Cornell University. Series arxive "math". 2019. No. 1910.03862.
- Chapter Konakov V., Menozzi S., Molchanov S. The Brownian motion on Aff(R) and quasi-local theorems, in: Contemporary Mathematics Vol. 739: Probabilistic Methods in Geometry, Topology and Spectral Theory. AMS, 2019. doi P. 97-124. doi
- Preprint Frikha N., Konakov V., Menozzi S. Well-posedness of some non-linear stable driven SDEs / Cornell University. Series arxive "math". 2019. No. 1910.05945.
- Preprint Huang L., Konakov V. A Local Limit Theorem for Robbins-Monro Procedure / Cornell University. Series arxive "math". 2018. No. 1810.09678.
- Chapter Konakov V., Menozzi S., Molchanov S. Approximation of diffusion processes on solvable Lie groups by random walks. Local and quasi-local limit theorems, in: Analytical and computational methods in probability theory and its applications (ACMPT-2017). Proceedings of the International Scientific Conference. M. : RUDN, 2017. P. 202-206.
- Article Konakov V., Markova A. Nonlinear Trend Exclusion Procedure for Models defined by Stochastic Differential and Difference Equations / Пер. с рус. // Automation and Remote Control. 2017. Vol. 78. No. 8. P. 1438-1448. doi
- Chapter Davydov Y., Konakov V. Random Walks in Nonhomogeneous Poisson Environment, in: Modern problems of stochastic analysis and statistics - Selected contributions in honor of Valentin Konakov / Ed. by V. Panov. Heidelberg : Springer, 2017. doi P. 3-24.
- 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 quasi-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
- 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
- Preprint Konakov V., Markova A. The procedure of excluding of the nonlinear trend for the models described by stochastic differential and difference equations / Cornell University. Series math "arxiv.org". 2016. No. 1610.08715.
- 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., 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.
- 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.
- Preprint Конаков В. Д. Метод параметрикса для диффузий и цепей Маркова / Издательство попечительского совета механико-математического факультета МГУ. Серия WP BRP "STI". 2012. № 2012.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
Conferences
- 2017
Аналитические и вычислительные методы в теории вероятностей и её приложениях (Москва). Presentation: «Аппроксимации диффузионных процессов случайными блужданиями на разрешимых группах Ли. Локальные и квази-локальные предельные теоремы»
Зимний коллоквиум ЛСА - 2017 (Снегири, Московская обоасть). Presentation: Sup-norm convergence rates for Levy density estimation
Уравнения Колмогорова – Фоккера-Планка: теоретические аспекты и приложения (Модена). Presentation: "Случайные перемещения в неоднородной пуассоновской среде"
HSE University Researchers Receive Fifteen Grants from the Russian Science Foundation
The Russian Science Foundation has announced the winners of four 2020 competitions. Some of the winners are from HSE University. They have received grants of 12 to 24 million roubles, for a term of two to four years.
‘Math is Beautiful’
Anna Kozhina, a Research Assistant at HSE’s international Laboratory of Stochastic Analysis and its Applications, earned her PhD at Heidelberg University in Germany with highest distinction and earned an academic degree of the first category from HSE’s new Dissertation Committee. This year Anna’s dissertation was awarded the Wilma-Moser prize, which recognizes the best work among female graduate students in the natural sciences. In an interview with HSE News Service, Anna discussed what made her fall in love with mathematics and how science keeps her on her toes.
International workshop "LSA winter meeting"
International laboratory of stochastic analysis and its applications organizes international workshop "LSA winter meeting" with the participation of foreign leading researchers on 04-07 December 2017. Venue: Russia, Moscow region. Language: English.
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.