Summary Report on Mathematics Department Activities 2013

Author: Omar Purtukhia

Hedging of European Options of Integral type

Author: Omar Glonti
Co-authors: Omar Purtukhia
Keywords: Black-Scholes model, Bachelier model, Clark-Ocone representation, local time, hedging problem.

On some property of the stochastic derivative operator

Author: Omar Purtukhia
Co-authors: Omar Glonti, Vakhtang Jaoshvili
Keywords: multiple stochastic integral, Skorokhod integral, Malliavin derivative, stochastic derivative operator, Sobolev’s average operator.

On the estimation of the error of filtartion

Author: Besarion Dochviri
Co-authors: Omar Purtukhia, Vakhtang Jaoshvili
Keywords: stationary sequence, partially observable scheme, Kalman-Bucy scheme, filtration, error, estimation.

On the deduction of optimal stopping problem with incomplete data

Author: Besarion Dochviri
Co-authors: Petre Babilua, George Lominashvili
Keywords: stationary sequence, partially observable sequence, payoff, stopping time, reduction.

On Testing the Hypothesis of Equality of Two Regression Functions

Author: Elizbar Nadaraya
Co-authors: Babilua Petre
Keywords: Bernoulli regression function, power of test, consistency, composite hypothesis

An alternative distribution of random variables and its applications in biological studies

Author: Alex Pijyan
Keywords: Random valiables, alternative distribution, hipotesis

Asimptotical Properties of Maximum Likelihood Estimation

Author: Grigol Sokhadze
Co-authors: Nadaraya E.
Keywords: Maximum likelihood, estimation, consistency