Professor Alex Novikov (University of Technology, Sydney)
MIMS Distinguished Visitor May 2010 & January 2011
Overview
Professor of Mathematics, Department of Mathematical Sciences, University of Technology, Sydney.
Appointments:
1999present  Professor of Mathematics  University of Technology, Sydney 
19961999  Senior Lecturer  Department of Statistics, University of Newcastle 
19701996  Research Fellow  Steklov Mathematical Institute, Moscow 
Selected Publications:
 J. Hinz, A. Novikov, `On fair pricing of emissionrelated derivatives', Bernoulli (forthcoming), available online November 2009 (http://isi.cbs.nl/bernoulli/future.htm).
 Borovkov, K. & Novikov, A. 2008, `On exit times of Levydriven OrnsteinUhlenbeck processes', Statistics and Probability Letters, vol. 78, no. 12, pp. 15171525.
 Novikov, A. & Kordzakhia, N. 2008, `Martingales and first passage times of AR(1) sequences', Stochastics, vol. 80, no. 23, pp.197210.
 Schmidt, T. & Novikov, A. 2008, `A Structural Model with Unobserved Default Boundary', Applied Mathematical Finance, vol. 15, no. 2, pp. 183203.
 Kordzakhia, N. & Novikov, A. 2008, `Pricing of Defaultable Securities under Stochastic Interest', in Sarychev, A; Shiryaev, A; Guerra, M; Grossinho, M (eds), Mathematical Control Theory and Finance, Springer, Berlin, pp. 251263.
 Novikov, A. & Shiryaev, A.N. 2007, `On solution of the optimal stopping problem for processes with independent increments', Stochastics, vol. 79, no. 34, pp. 393406.
 Lipster, R. & Novikov, A. 2006, `Tail distributions of supremum and quadratic variation of local Martingales', in Kabanov Y; Lipster R; Stoyanov J (eds), From Stochastic Calculus to Mathematical Finance, Springer, Heidelberg, pp. 421432.
 Sukparungsee, S. & Novikov, A. 2006, `On EWMA procedure for detection of a change in observation via Martingale approach', KMITL Science Journal, vol. 6, no. 2a, pp. 373380.
 Borovkov, K. & Novikov, A. 2005, `Explicit bounds for approximation rates of boundary crossing probabilities for the Wiener process', Journal of Applied Probability, vol. 42, no. 1, pp. 8292.
 Novikov, A., Melchers, R., Shinjikashvili, E. & Kordzakhia, N. 2005, `First passage time of filtered Poisson process with exponential shape function', Probabilistic Engineering Mechanics, vol. 20, no. 1, pp. 5765.
Research while at MIMS

Prof Novikov will be studying Optimal Stopping Problems during his time at the University.
Seminars while at MIMS
 TBA
Contact details while at MIMS
 Office 1.216
Further information
 Alex Novikov's Homepage
 For further information please contact Prof Goran Peskir.