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
Degree
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
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Faculty of Mathematics; 1 year, 1, 2 module)Eng
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Faculty of Mathematics; 1 year, 3, 4 module)Eng
- Stochastic models (Master’s programme; International laboratory for Applied Network Research; programme "Applied Statistics with Network Analysis"; 1 year, 3, 4 module)Eng
- Past Courses
Courses (2016/2017)
- 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
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
Courses (2014/2015)
Foreign Language (English) (Bachelor’s programme; Faculty of Economic Sciences; spec. "Экономика и статистика"; 4 year, 4 module)Rus
- Malliavin Calculus and its Applications in Finance (Master’s programme; Faculty of Economic Sciences; 1 year, 1-3 module)Rus
- Malliavin Calculus and its Applications in Finance (Master’s programme; Faculty of Economic Sciences; 2 year, 1-3 module)Rus
- Random Processes and Modeling (Master’s programme; Faculty of Economic Sciences; 1 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Master’s programme; Faculty of Mathematics; 1 year, 1, 2 module)Rus
- Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Master’s programme; Faculty of Mathematics; 1 year, 3, 4 module)Rus
Courses (2013/2014)
- Econometrics (Advanced level) (Master’s programme; School of Statistics, Data Analysis and Demography; 1 year, 3, 4 module)Rus
- Econometrics (Advanced level) (Master’s programme; School of Statistics, Data Analysis and Demography; 2 year, 1, 2 module)Rus
- Malliavin Calculus and its Applications in Finance (Master’s programme; School of Statistics, Data Analysis and Demography; 1 year, 1-3 module)Rus
- Malliavin Calculus and its Applications in Finance (Master’s programme; School of Statistics, Data Analysis and Demography; 2 year, 1-3 module)Rus
- Random Processes and Modeling (Master’s programme; School of Statistics, Data Analysis and Demography; 1 year, 1, 2 module)Rus
Courses (2012/2013)
- Econometrics (Advanced Level, Econometrics 2) (Master’s programme; School of Statistics, Data Analysis and Demography; 1 year, 3, 4 module)Rus
- Econometrics (Advanced Level, Econometrics 2) (Master’s programme; School of Statistics, Data Analysis and Demography; 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; 2 year, 1-4 module)Rus
- Random Processes and Modeling (Master’s programme; School of Statistics, Data Analysis and Demography; 1 year, 1, 2 module)Rus
Research Seminar "Probability Theory. Analytical and Economic Applications 1" (Master’s programme; Faculty of Mathematics; field of study "010100.68 Математика", field of study "010100.68 Математика"; 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; 2 year, 1, 2 module)Rus
Research Seminar "Probability Theory. Analytical and Economic Applications 2" (Master’s programme; Faculty of Mathematics; field of study "010100.68 Математика", field of study "010100.68 Математика"; 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; 2 year, 3, 4 module)Rus
Courses (2011/2012)
- Econometrics (Advanced Level, Econometrics 2) (Master’s programme; School of Statistics, Data Analysis and Demography; 1 year, 2 semester)Rus
- Econometrics (Advanced Level, Econometrics 2) (Master’s programme; School of Statistics, Data Analysis and Demography; 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; 2 year, 1, 2 semester)Rus
- Random Processes and Modeling (Master’s programme; School of Statistics, Data Analysis and Demography; 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; 1 year, 2 semester)Rus
- Methods of Applied Statistics and Econometrics (Master’s programme; School of Statistics, Data Analysis and Demography; 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; 1 year, 1, 2 semester)Rus
- Random Processes and Modeling (Master’s programme; School of Statistics, Data Analysis and Demography; 1 year, 1 semester)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.
20176
- 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 non homogeneous 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
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
- 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.
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.
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"
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.
