Papers 20082007:
Monograps (1) Dokuchaev N.G. Mathematical finance: core theory, problems, and statistical algorithms.. January 2007, Routledge; ISBN 9780414487 (2) Dokuchaev, N. Dynamic portfolio strategies: quantitative methods and empirical rules for incomplete information. Kluwer Academic Publishers, Boston, ISBN 079237648X. January 2002, 232 pp. The review of this book can be found in Journal of the Operational Research Society, May 2004, vol. 55, no. 5, pp. 555560. Papers of 2006 and before Stochastic
Processes and Related PDE's (2) Dokuchaev, N.G. Estimates for distances between first exit times via parabolic equations in unbounded cylinders, Probability Theory and Related Fields 129 (iss. 2) 2004, 290  314.(The original publication is available at springerlink.com). (3)
Dokuchaev, N.G. Nonlinear parabolic Ito's equations and duality
approach, Theory of Probability and Applications, 48
(1) (2003), 4562. (The original publication is available
in http://epubs.siam.org/sambin/dbq/article/98027) (for the
original in Russian: pp. 2240). (5)
Dokuchaev, N.G. Equations for distributions of the local sojourn
time of a diffusion process on a surface, and control problems.
Journal of
Mathematical Sciences (New York) 99 (1) Dokuchaev, N. (2006). Speculative opportunities for currency exchange under soft peg. Applied Financial Economics Letters 2, iss 6, 371374. http://ssrn.com/abstract=838384 (2')
Dokuchaev, N. Saddle
points for maximin investment problems with observable but
nonpredictable parameters: solution via heat (3) Dokuchaev, N. (2006). Two unconditionally implied parameters and volatility smiles and skews. Applied Financial Economics Letters 2 199204. http://ssrn.com/abstract=550983 (4) Dokuchaev, N. (2005) Optimal solution of investment problems via linear parabolic equations generated by Kalman filter. SIAM J. of Control and Optimization 44, No. 4, pp. 12391258. (the published version) (5) Dokuchaev, N.G., and Savkin, A.V. Universal strategies for diffusion markets and possibility of asymptotic arbitrage. Insurance: Mathematics and Economics. Insurance Mathematics and Economics 34 (2004), iss. 3, 409419. (The publication is available at elsevier.com). (6)
Dokuchaev, N.G., and Savkin, A.V. A
bounded risk strategy for a market with

Stochastic
Control 
ODE's
and Electrical
Networks (2)
Dokuchaev, N.G. The integral estimations for ordinary
differential equations (3)
Dokuchaev, N.G. Operation method for the boundary

Mathematical
Education

(1) Dokuchaev, N. On $L_2$theory of partial differential equations of mathematical physics. Physics seminar, Trent University, Ontario, July 10th, 2005. (2) Dokuchaev, N. Some additions to the $L_2$theory of parabolic equations and related stochastic diffusion processes. WCNA2008, Orlando, Fl., July 29th, 2008. (3) Dokuchaev, N. Myopic strategies and their optimality for stochastic discrete time market models. WCNA2008, Orlando, Fl., July 29th, 2008. (4) N.Dokuchaev, SPDEs and nonMarkov Ito processes in bounded domains. York Probability Seminar. York University, Toronto., January 16th, 2008. (5) N.Dokuchaev. Price matching for multiple rescindable options and European options. MITACSMCME Workshop on Risk Analysis . York University, Toronto. December 11th, 2007. (6) Dokuchaev, N. Mathematical finance: portfolio selection and unsolved problems. Trent University, Ontario, March 28th, 2007. (7) Dokuchaev, N. Meanreverting market model: Novikov condition, speculative opportunities, and nonarbitrage. Seminar on Stochastic processes, Fields Institute, Toronto, March 15th, 2007. (8) Dokuchaev, N. Dynamic portfolio selection: model choice, optimality, and uncertainty. Statistics and Actuarial Science Seminar, University College Dublin, Ireland. November 11, 2005. (9) Dokuchaev, N. Mathematical finance: basic models and unsolved problems. Department of Mathematics and Statistics, University of Limerick, Ireland. April 22, 2005. (10)
Dokuchaev, N. Saddle points for maximin (11)
Dokuchaev, N. Parabolic equations
in unbounded cylinders (12)
Dokuchaev, N. Pricing rules for random
(16)
Dokuchaev, N.G. Explicit optimal solution in maximin setting
