Kostiantyn Ralchenko




Kostiantyn Ralchenko

POSITION
Associate Professor at the Department of Probability, Statistics and Actuarial Mathematics 

WORK EXPERIENCE
2011–2016
Assistant Professor
Taras Shevchenko National University of Kyiv, Kyiv (Ukraine)

2016–2018 
Doctoral Candidate
Taras Shevchenko National University of Kyiv, Kyiv (Ukraine)

2018–Present 
Associate Professor 
Taras Shevchenko National University of Kyiv, Kyiv (Ukraine)

EDUCATION AND TRAINING

2005
BSc
Taras Shevchenko National University of Kyiv, Kyiv (Ukraine)

2007
MSc
Taras Shevchenko National University of Kiev, Kyiv (Ukraine)

2012
Ph.D
Taras Shevchenko National University of Kiev, Kyiv (Ukraine)

2019
DSc (Habilitation)
Taras Shevchenko National University of Kiev, Kyiv (Ukraine) 


Theory and statistics of fractional and multifractional random processes and fields

Research Fields:
Mathematics

Previous and Current Research

  • Approximation of fractional and multifractional random processes and fields
  • Functional limit theorems for fractional, multifractional and multistable processes
  • Stochastic differential equations with fractional and multifractional random processes
  • Statistics of the processes with long-range dependence
  • Stochastic integration for processes driven by Lévy and martingale noise

Future Projects and Goals

  • Parameter estimation in fractional, multifractional and related models
  • Stochastic partial differential equations with fractional noise

Selected Publications

O. Banna, Y. Mishura, K. Ralchenko, S. Shklyar

Fractional Brownian Motion: Approximations and Projections

ISTE Ltd. & Wiley, 2019

 

K. Kubilius, Y. Mishura, K. Ralchenko

Parameter Estimation in Fractional Diffusion Models

Bocconi & Springer Series, vol. 8. Springer, 2017

 

Y. Mishura, K. Ralchenko, G. Shevchenko

Existence and uniqueness of mild solution to stochastic heat equation with white and fractional noises

Theory of Probability and Mathematical Statistics, 2019, Vol. 98, P. 149–170.

 

K. Ralchenko, G. Shevchenko

Existence and uniqueness of mild solution to fractional stochastic heat equation

Modern Stochastics: Theory and Applications, 2019, Vol. 6(1), P. 57–79

 

M. Dozzi, Y. Kozachenko, Y. Mishura, K. Ralchenko

Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation.

Statistical Inference for Stochastic Processes, 2018, Vol. 21(1), P. 21–52

 

A. Kukush, Y. Mishura, K. Ralchenko

Hypothesis testing of the drift parameter sign for fractional Ornstein–Uhlenbeck process

Electronic Journal of Statistics, 2017, Vol. 11(1), P. 385–400

 

G. Di Nunno, Y. Mishura, K. Ralchenko

Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise

Fractional Calculus and Applied Analysis, 2016, Vol. 19(6), P. 1356–1392

 

I. Molchanov, K. Ralchenko

Multifractional Poisson process, multistable subordinator and related limit theorems

Statistics & Probability Letters, 2015, Vol. 96, P. 95–101.

 

I. Molchanov, K. Ralchenko

A generalisation of the fractional Brownian field based on non-Euclidean norms

Journal of Mathematical Analysis and Applications, 2015, Vol. 430(1), P. 262–278

 

K. Ralchenko, G. Shevchenko

Path properties of multifractal Brownian motion

Theory of Probability and Mathematical Statistics, 2010, Vol. 80, P. 119–130.


Contacts

Homepage: http://probability.univ.kiev.ua/index.php?page=userinfo&person=ralchenko&lan=en


ralchenko@univ.kiev.ua