UNITED SEMINAR OF THE DEPARTMENT OF PROBABILITY THEORY OF LOMONOSOV MOSCOW STATE UNIVERSITY
UNITED SEMINAR OF THE DEPARTMENT OF PROBABILITY THEORY OF LOMONOSOV MOSCOW STATE UNIVERSITY
This is the page of the United Seminar of the Department of Probability Theory of the Faculty of Mechanics and Mathematics of Moscow State University. The permanent website of the seminar is here. The seminar is a continuation of the research seminar of the Department of Probability Theory under the leadership of A.N. Kolmogorov and B.V. Gnedenko.
The seminar is held online every Wednesday from 16:45 to 17:45 Moscow time.
Permanent link to the Zoom room: http://bit.ly/3HY8K6d
Room ID: 844 6792 3144 Access code: 697663
Head of the seminar: academician of the RAS, professor Albert N. Shiryaev
Coordinator of the seminar in fall 2025: professor Elena B. Yarovaya
Secretary of the seminar in fall 2025: Oleg E. Ivlev
To subscribe to the seminar newsletter or submit a talk, click "Subscribe or submit" at the top of the page.
October 1, 16:45 msk
Ekaterina Bulinskaya, Lomonosov MSU, Russia
Risk networks
Risk management (or decision making under uncertainty) is important in applications of Probability Theory such as insurance, finance, queueing, reliability, inventory control, telecommuni\-cations, population dynamics, biology, medicine and others. The first step in such investigations is to choose an appropriate model. The most popular ones are input-output models. For their description, it is necessary to know a collection (T,Z,Y,U,Ψ,𝓛), that is, a planning horizon, input, output and control processes, a functional describing the system structure and working mode, as well as, an objective function evaluating the system performance quality. Then the optimal (asymptotically optimal or ε-optimal) control is found, system's stability is established and limit theorems are proved. For illustration we consider risk networks with investment and reinsurance arising in insurance industry.
September 24, 16:45 msk
Alexander Bulinski, Lomonosov MSU, Russia
Delta Method and its Applications
The Delta method has a long history going back to the research of the 18th century. Such famous scientists as C.F.Gauss, C.E.Spearman, K.J.Holzinger, S.G.Wright, J.L.Doob, R.E.Dorfman, C.H.Cramer C.R.Rao, D.A.Pierce and other contributed to its development. A modern treatment of this method is explained. As an illustration, it is shown how one can construct approximate confidence intervals for an unknown parameter p in the Bernoulli scheme. At the same time, a comparison of various methods for solving this problem is provided. Moreover, new results from the article by A.Bulinski and S.Wang (Sankya A: The Indian Journal of Statistics, July, 2025, p. 1-26) related to statistical estimation of the conditional interaction information by means of Delta method are presented.
The recording: YouTube
September 17, 16:45 msk
Albert Shiryaev
N.Kordzakia, A.Novikov, A.Shiryaev. On parameter estimation of diffusion processes by maximum likelihood method
The recording: YouTube